Alright, this is my ... 2nd time in the Thieves Guild (1st time I just did Goldenglow.. and stopped with that Char.). Now I'm finally past where I was on my other char and I gotta tail Gulum-Ei for info.

I'm in the East Trading Co. place or w/e.. and I lost him for a second trying to dodge a guard and it says for me to go into a Door (Arrow pointing down to a door symbol), but I can't figure out FOR THE LIFE OF ME where this door is? Or how to get into it?

Someone please help cause now I'm confused..

There is a way down, where you are right now it is probably underneath you so follow the path inwards a bit more until you see a turn off to the left then follow it down into the water and go to the door.

http://www.google.co.uk/url?sa=t&rct=j&q=scounderl%27s%20folly%20skyrim&source=web&cd=5&ved=0CEgQFjAE&url=http%3A%2F%2Felderscrolls.wikia.com%2Fwiki%2FScoundrel%27s_Folly&ei=Mjj2Tv-VBYyZ8gPqy-i4AQ&usg=AFQjCNEZjD5eZCilaiCGfhnCd6BhDy1HZw

Are you on about the bit right at the end of the Warehouse, where there's simply an end to the walkway? Look for some stairs going up - next to them, there are some stairs going down. Wade through the water and you'll find the door I think you're seeking.