Talk to Lillian and ask her about her brother Lieth. She says he has gone missing. You begin searching for clues and you find in Lillian's house which is south of the Grand Exchange that the cellar has a trapdoor in it. Enter the trapdoor and you are in the sewers similar to the ones you where in during Underworld. Walk along until you see two Thieves guarding a door. Kill both of them one should drop a key. Pick the key u,p and open the door. You see a room full of cells.