At the far eastern section of the thieve's guild (aka the dungeon under the ducal inn) are two doors, one to the north and one to the east. And there is a guy standing guard there, whom you can talk to and say some stupid things. He is guarding Penumbra which is locked up to the north. There is a key I believe, if I am not mistaken, to the door lying somewhere close to this guy. Just hit alt and check. But if you unlock the door he'll come at you. You have to make him leave for pee and then free her.
