The location of the Thieves Guild is always a secret. Finding it in the first place is a test of entry to the guild. Many young characters who aspire to play in the shadows end up asking in the Town Green or elsewhere, "Can anyone tell me where to find the Thieves Guild?"
I urge you to not ask this sort of question. You will generally either get no answer or get an answer that will send you on a wild-goose chase.
Instead, start by asking the old man at the Jadewater Mansion. He will at least get you started in the right direction. He won't tell you where it is, but he'll suggest where you should start asking.
If at some point you really feel at a loss, you might try approaching it like a thief would. That is, hide and watch the traffic. If you start in Barana's shipyard and manage to identify someone who you think is a young thief, you might be able to stalk them to the door of the guild.
In either case, good luck to you. Don't expect to be able to find it in one session of play, though you may.
Updated September 3, 2005.