To join the Thieves' Guild, you need to pick, or attempt to pick, at least 10 pockets. The easiest way to do this is to pick monster's pockets in dungeons, as you don't have to worry about the city guards who appear to know everything you do (picking monster's pockets in dungeons is also a great way to practice the skill!). After picking 10 pockets, the guild will contact you. After joining the Thieves' Guild, the location of one in town, if there is one, will appear on your automap (it is simply a normal house). Don't try to pick the pockets of any monsters in town as this attract the guards.
Similarly, to join the Dark Brotherhood you must
enough kill innocents (worth 5) or city guards (worth 1) to reach a total of 15 points; i.e., 3 innocents or 15 guards or combination of both. Innocents are defined as any of those NPCs walking around town.
If you belong to the Thieves' Guild, engage the spymaster in regular conversation; he will still be all knowing and never clam up like he usually does! If you have low lock picking skills try to get a quest from the fighters guild where you have to rid a building of monsters. If that building is a shop you will be able to enter it after it closes! Then feel free to steal away!