In the mission "Diplomatic Immunity" Malborn will not lock the door behind me when I retrieve my gear. He will just stand there saying that you need to hurry up or he will be missed at the party. I have reloaded auto and reloaded saved and replayed for hours now?! It's happened every time?! (about 5 different times) I'm so frustrated!! Any help is greatly appreciated!!

He doesn't lock that door, he locks the one further down. Just go further into the mansion.

I have?! He walks to it (eventually) and stands there and says "you need to hurry up or I will be missed at the party." When I try and talk to him, he says he doesn't have time for that?! Talk about frustrating. I've tried so many reloads from different spots...

Just leave the house, see if things progress.

Don't worry about him , just start killing Thalmor . He will take care of himself once you leave the mansion .

But I'm trapped in the kitchen?! The door is locked and needs a key (that Malborn has) So I can't do anything?!

Um, so which problem are you having actually? Is it that he won't lock the door behind you after you retrieve your gear, or before you even get your gear? You mention that you're trapped in the kitchen yet your title say's he won't lock the door behind you. It usually takes awhile don't interrupt him when he tells you to hurry and get in. get your gear and walk in the door. Close the door behind you and just go forward. You'll hear 2 Thalmor talking, he should of already locked the door by now if not he will eventually. I've done the quest about 4 times on different character and it almost seems like he wouldn't lock the door behind me. But eventually he did...

You're trying to leave through the wrong door. You don't leave the kitchen the same way you came in.

I just went in got my stuff from the chest went through another door and killed everyone til I got the stuff it kept telling me to get and down some trapdoor and out. Nuthin' decent in the whole place.

Don't forget the unusual gem for an upcoming quest... it's in one of the bedroom's in the second building you have to go into.

Figured it out, turns out I'm an idiot noob. Thanks for the help everyone. Much appreciated!