Hei

I am trying to find the information in the Thalmor embassy.

However when I go to get the documents it tells me that the door is locked and requires a key.

The guards did not have one on them when I killed them.

Is this a bug or do I just need to look for it?

The only key you need is for the trapdoor in order to escape the embassy. Two guards should show up with Malborn and they have the key. You may need to first glance at the documents to trigger this. See http://www.uesp.net/wiki/Skyrim:Diplomatic_Immunityon the wiki.

Thank you, I will try that.

I read the Wiki article and when I could not see anything there about a key I thought I would ask here in case this has happened to anyone else.

Sadly the door is locked in the embassy so I cannot get the information that I need to progress to the next stage.

I might try reloading an earlier save to see if that helps.

Well it seemed that I did not need to go into the locked room so I was able to complete that with no problems ^^