the thief watchman is located at the pub in Derphy and guards the stairs that lead into the Thieves Guild. If you are a member of the Thieves Guild, then he will be standing just east of the stairs, allowing you access. Talking to Abyss will give you information about the guild and allow you to join. If you ask to join, he will give you a quest that involves not paying your taxes for several months. If you are already a member, he will give you a quest to pickpocket a certain value of goods.