I got caught after I found the Elder Scroll in the Great Heist in Oblivion and need help!?

I got caught after I found the Elder Scroll in the Great Heist in Oblivion and I was taken to jail. I served my jail time and now I have the Elder Scroll and the Boots of Springheel Jak. However, I cannot find the Gray Fox. I went to the house where he told me about the Great Heist, but he is not there. My map marker points me to the fire place where you are supposed to fall, but I can't get there because there is a locked door. What do I do?