When you first arrive at the Imperial City, travel to the waterfront and walk onto the boat with two pirates on it. The pirates will attack you. When they do, run and find a guard. The guard will kill them for you and you will now have access to the ship. It is not considered a crime to enter the boat and you can take whatever desired. During the Dark Brotherhood quest line, you must kill an elf called Baelin. Avoid killing his manservant, Grom. Grom will attack you when you next visit the house. Leave the house and run for a guard. The guards will kill Grom and you can treat Baelin's house as your own.