There shouldn't be a 0 in the CharacterTeleportToTrigger function. It doesn't use an integer as an argument.
Edit: So the script should look like this:
Code
IF
GlobalEventSet("CaughtStealing")
THEN
CharacterTeleportPartyToTrigger(TRIGGER_Prison_P1,"");
CharacterTeleportToTrigger(CHARACTER_Guard, TRIGGER_Prison_Guard,"");
FadeToBlack(CHARACTER_Player1,5.0,0);