I have found the Ratway in Riften. I ventured down three doors and could not find how to join the thieves guild. I went all the way down to the Warrens. This is way past the bar where you find the guy who trains in sneak.
How do I join the Thieves Guild?
Best Answer
You need to speak to their recruiter in the marketplace during the day, where you'll be given a small series of tasks to complete before the guildies in the sewers start to deal with you.
From: The Elder Scrolls Wiki