If you're new to the game you may not have done the quest involving him. If you're in the htieves guild sell it to one of your fences and if not, travel to The Market District in The Imperial City and fid a shop with a merhcant called Thoronir in it. Either way it's like armour heaven and you can just steal as much as you like and sell it to a dishonest mercchant.
well at night the front door is open but if you proceed round to the back door I think you can just walk in or there is a very eay lock to pick. Also there is a weapn shop called Hammer and Tongs I think in one of the towns. Here you get decent weaponry and armour which you can then sell if you like as you can access as much of it as you like.
One thing I would do in your position is join the Fighters Guild which is in every town except for The Imperial City.
