I guess I'll try other things. The fact that the quest arrow is pointing at the guy and telling me to go with his plan is kind of distracting.
Turn off the quest arrow! Your journal is not the boss of you! LOL So, yea, head down into the Ratway, talk to the bartender at the Bee and Barb, so you know where the Ratways are, then enter the Ragged Flagon and talk to the Bartender there, or just use the door behind the bartender (to the right), which leads into the Ratway Warrants.
Plus, there are plenty of these type of threads around, how a "Good" person doesn't want to work for Brynjolf, only to advance the MQ...
I found myself in the same position as shagsbeard - I felt bad having seen the guy go to jail but oh well.. not going back to do it again differently.. But now, how the hell do I get out of the rat way! Damn it's so confusing!
Uhm, use your local map maybe?