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Thieves Guild
Overview
The Thieves Guild does not have branches open to the public in the same way as the mages and fighters guilds. Authority figures in the Thieves Guild and their locations will be revealed as you progress in the guild.
Joining
To join the Thieves Guild you will first need to accumulate a little jail time. So steal something in the imperial trade district and go to jail when a guard catches you. After your release visit the waterfront district and a female dark elf (Dunmer) should give you a note with where to meet.
Alternatively you could become good buddies with the beggar in the waterfront district. You'll probably have to bribe him a little. THen ask him about Gray Fox and he'll tell you where the meeting occurs.
Quests
1 – May the best thief win