Okay, in order to get into the thieves guild, you must go to prison alot of times, (I recommend murdering). Every time you go to prison ALWAYS go to jail. Serve your time and then sometime when you get out of prison a dark elf will come to you with a mysterious note. Read it in your inventory, then go to the Garden of Deloriagh I think (the place with all the houses in the Imperial Waterfront District). You also need to be at the Imperial City to join. Go to the Garden and look for a man with a torch in someones yard. He is with an Argonian. Then you show him the note and he will tell you to have a race to steal a diary (the guys name starts with a A). The wood elf will get there first but you can pickpocket the diary from her (make sure there are no guards, cuz I got caught). After that, if you get imprisoned, wait until midnight then go to the guy and give him the diary.
You are now apart of the Theives Guild!