Where is the thieves guild and how do you join? I would assume you have to go to jail.

Riften. My character is a thief, and to be honest, they quite quickly found me, not the other way around. The guy told me that he could tell that I was a thief just from my manners, and he was obviously right. I never even got a bounty or anything, but I managed to get through the annoying guards blocking the gates of Riften without paying any gold.

So what if your character is a warrior?

I don't know. Why do you want to join as a warrior? The quests require pickpocketing and sneak. They may show up too still, I don't know.

Better question is if they got a fence to sell stolen goods..

Well, I barely initiated the questline, and I'm not a full member yet, so I can't tell.

i'm not sure stolen goods even require a fence, I'm doing the thieve's guild and trying to locate the dark brotherhood quest line right now and I haven't noticed a 'mark' on any of my items (the red hand from oblivion for example)

The thieves guild came up to me in Riften (which I bee-lined for at the beginning of the game after finishing the basic dungeon quest in the first town) because I had stolen so many items. Truth be told, I had stolen them IN HOPES the thieves guild would come find me, so wooooooo!!!
This game rocks so far

Yes, fences are required to sell stolen goods (or you can get the top perk in the Speechcraft tree).