Talk to Rob upstairs in the Ducal inn (behind the bar) to get a couple quests to join the thieves' guild.
Follow the plot to get to the wastelands (this is at the end of the game)
Before installing the
patch, Finnigan's magic lockpicks were breakable, but afterwards they are not. Installing the patch should put them back in Commander Kratus' desk, if they broke when used (but not if they were dropped on the ground). Before deciding to complete this quest, check out what they do for your stats (you can only buy them back from Finnigan in a game started after installing the 1.34 patch).
If the patch does not restore the lockpicks, see
Lost Items - guide and directory of inventory files