According to legends:

There are several legends, which help to know about Sankhu, Bajrayogini Sanctuary and Manichud daha. Such as Manishail Mahawadana, Himwatkhanda, Swayambhu puran etc. 

HIMWAT KHANDA MAHAPURAN:

In this legend, it has been shown that Ne-muni and Birupakshya were travelling all the holy places; and Birupakshya was taking all the information from Ne-muni about all thoes places. One day, they arrived at Manichud; and Birupakshya asked about importance of that place. Ne-muni told that, one day Siva was discussing about character of him with Parvati. Because of one thing of discussion, he became invisible and went to a cave of eastern hill of peak of Bagmati. He called Byom Ganga and stayed there. At that time, the gods of heaven were afraid of Tripurasur (a giant) and went to Kailash, the permanent habitat of Siva, for getting help from him. When the gods were not able to find him all around, they went to parvati. Then she became a crow herself, which could recognize the Rudrarupa, and found Rudrarupa Siva. She informed it to all gods by producing sound of crow. All the gods went there and prayed to Siva. They saw Siva there on the day of Bhadra Shukla Ashtami. Rudraji saw them and further became invisible leaving a linga in the form of crow. The gods prayed and worshipped it and named Kakeshwari linga.

From there, Siva went to Manichud hill and stayed on the pond by sinking into water. When the gods couldn't meet Siva, they went to take the suggestion of Bramha. On the suggestion of Bramha, they went to Manichud hill and prayed to goddess Bajrayogini. She became very happy and told about all. The gods went to the pond and prayed Siva, then Siva became so happy; and on the day of Purnima he showed his own image having four hands, three eyes. Then he went to heaven and returned it to gods by killing Tripurasur.

In this legend; it has been further described that after bathing on the Manichud pond, Ne-muni and Birupaksha went to the place of yogini. On the day of Falgun Shukla Ashtami, they took bath on Yog Ganga (Yog River) and worshiped to the Yogini. Thereafter, Birupakshya asked to Ne-muni all about the Yogini. Then Ne-muni told that she was a Bhagabati who would live in eyes of lord Bishnu. At past, with his vision of yoga Bramhaji saw that hill was flaming like Mani. Later, he came and stayed there. After long time, the gods, goddesses including Bramha, Bishnu and Mahadev (Shiva) prayed and worshiped her with yoga. So she was called Yogeshwari. Saptarishi (Seven Rishis) prayed till thousand years, living in the white caves. The Bhagabati became happy and they were called Sapta Bramha.

VAJRAYOGINI:

The Gunbihar (Bajrayogini Sanctuary) is located in the northeastern part of the Kathmandu valley about halfway up the hill, which surround Sankhu. The wide stone-paved path, which leaves Sankhu going northwards, first crosses a small river and then ascends steeply. Walking about 30 minutes, we reach the Gunbihar. In this area, there are very important elements in the point of view of social, cultural, religious, architectural etc. All of these analytical descriptions are laid out in this thesis. Not very far from SANKHU town, on the surface of a hill, under the golden canopy in a temple, there is a statue of EKAJA TI, popularly called

SANKHU VAJRAYOGINI, the name of a Goddess of UGRA TARAS'

nature. Her body is red in color with one face and two hands. The first two hands hold a knife and a skull while the other two holds a sword and Utpal flower. Having equal numbers of faces, hands and implements, a bronze statue of UGRA TARA with her left leg stretched out lies in the upper story. Most of the Nepalese call this main object the KHADGAYOGINI. Goddess UGRA T ARA is considered a deity of wisdom worshipped by both Buddhist and Hindus.

The temple is believed to have been built by King MANADEVA during the 5th century. It is also known as one of the oldest temples in Nepal. At this site, you could also see what's known as the fire and water of Aeon.