The Thieves Guild in The Elder Scrolls IV: Oblivion is located in the Waterfront District of the Imperial City. To find and join the guild, you need to go to the Garden of Dareloth, which is a walled-off garden behind the abandoned shacks in the Waterfront District.

How to find and join the Thieves Guild:

• The quickest way to start is by committing a crime (like stealing) and getting caught by a guard. After serving time in jail, you will be approached by a guild representative with an invitation to meet at the Garden of Dareloth at midnight

• Alternatively, you can find wanted posters about the Gray Fox and talk to beggars in the Waterfront District. After raising their disposition, they will tell you about the guild and direct you to the Garden of Dareloth

• Once at the Garden of Dareloth at midnight, you will meet Armand Christophe and other candidates. Talking to Armand will start your initiation quest, "May the Best Thief Win," which involves stealing a book from Aius Electus in the Temple District without killing him

Summary:

• Location: Garden of Dareloth, Waterfront District, Imperial City
• How to start: Get caught stealing and serve jail time or talk to beggars after reading wanted posters
• Meeting time: Midnight at the Garden of Dareloth
• First quest: Steal a journal from Aius Electus in the Temple District

After completing the initiation quest, you officially become a member of the Thieves Guild and can start taking on guild jobs and selling stolen goods through fences