After you've talked to the old guy in the brown dress (at the start of game tutorial section) go through the room, where you learn to fight and pik locks, into the small courtyard. Walk to the left of barrel to the corner where the building joins the wall and jump into the corner (and keep jumping) eventually you will be in between the building and the wall. From here you can walk through the wall into seyda need. You will now be able to play the game as normal apart from when you break the law the guards will say
"we will let you off this time but when you get released this sorta stuff will get you into trouble"
This means you can do what ever you want and not get into trouble