You have quite a lot of questions there.
The guard came to you,because somebody saw you while you were lockpicking the shop.Get in stealth mode (CTRL) and when the eye becomes transperent nobody can see you.Then lockpick.
To join the Gray Fox (Leader of the Thieves Guild) you just have to ask a beggar about it.You will need a little persuading though.Not to spoil it much just follow the instructions.
Lockpicks can be purchased in the Thieves Guild or Dark Brotherhood.Theives Guild has more lockpicks in stock though.
To join the DB just kill a beggar.I'm not sure will it put you a bounty if you don't get seen.
I will also recommend you to visit Nocturnal Shrine and do the quest.You will find a very ''special'' thief item

EDIT:This should probably be in the spoiler section
This post has been edited by HyPN0: Apr 13 2006, 08:08 PM