I have the same "problem" - I found the entrance from the sewers, but the door won't unlock even with Level 4 lockpicks.
I don't want to waste a skill point on Pickpocket, besides having no desire to join the Theives.
There is no such key near the dweeb and no option to make him "go for a pee" (actually, it sounds like you made that up <img src="/ubbthreads/images/graemlins/silly.gif" alt="" /> )
Any help appreciated.
