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On my first character, I didn't come across a quest either so I just ported to the wayshrine in Hew's Bane. However, I came across a quest giver in an outlaw refuge on another alt, so maybe check there.
assuming you have purchased it via the crown store or ESO Plus....
on console, go into you menu under DLC and click it so that it places a check beside it....then it gives you a quest.
thats it...it also populates a wayshrine for you
-PC (PTS)/Xbox One: NewBlacksmurf
~<{[50]}>~ looks better than *501
Once you've purchased the Thieves Guild DLC game pack or activated your ESO Plus membership, your next thrilling adventure is just a few steps away.
Enter any Outlaws Refuge and approach a High Elf thief by the name of Quen. Speak to her to begin the “Partners in Crime" quest—progress through the events of the quest and you'll be in Abah's Landing before you know it! (You can also accept the “Partners in Crime" quest by purchasing the DLC and navigating to the DLC tab in your Collections menu.)
You can also fast-travel to Hew's Bane and Abah's Landing by using the Wayshrine network. Quen, the Thieves Guild main quest bestower, will approach you at the Abah's Landing Wayshrine when you arrive.