The problem is you have to find a small entrance inside a city spanning several hundred buildings. If you remember a lot about how thieves guilds are hidden in mmos like Elder Scrolls and such it becomes a bit easier. Once you actually find it the entrance you then have to find the guild.
Step 1) FInd theives guild
Step 2) Raid theives guild with Imperial Army
Step 3) Realize weve just raided some old ladys house...
Step 4) Repeat until having found correct location
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