Well you just walk to Sadrith Mora
. The best (or maybe only?) way is to go downstairs from the mages guild until you reach the Imperial Shrine in Wolverine Hall (I think 2 flights of stairs), enter the Imperial Shrine, then go out the other door in there - that will lead to outside. Then go down the stairs and to the left and you'll see a walkway which leads to the road to Sadrith Mora. Then you need to go to the council house to join the Telvanni (walk around until you reach the market area and it's behind there - I had trouble finding it the first time
).
I'm not positive about whether there is conflict between being a member of the mages guild and the Telvanni - I'm a member of both at the moment so I guess I'll find out. However, if I had to take a guess, I would say no - the reason is one of the rules of the Telvanni is you can kill anyone you want in the Telvanni and as long as you win you must be in the right. So I don't think they'd care if you were spying on them or stealing from them or even killing them as long as you did it with flair
