-Go through Training until you reach the Courtyard
-Spar with the Guard until he turns to go back
-Stop him from getting away by hitting him a few times
-Grab the key on the table
-Go to where the Guard came from and enter
-Go all the way down the hall
-Use the key on the door to find the court

And after installing the 1.33 Patch.

Mission Skipping: If you're tired of a particular mission, pressing "Control-Alt-Shift-End" will cause the mission to end and allow you to move on to the next mission.

Money cheat: You can give yourself loot by adding the line "cash_bonus" to the DARK.CFG file in your Thief directory. If set to an integer, its value is added to your loot total for loadout purposes.

Starting Mission: You can start the game at a mission other than Lord Bafford's Manor by putting the line "starting_mission X" in DARK.CFG where X is the mission number to start at. When you select "New Game," you will start at that mission.