is there any one know if you can get a lockpick that does not break???? i lose many lockpic

If there is some whay too get it then i only need to know the location of that place and where its close too

Do one of the Daedric Shrine quests. One gives you the Skeleton Key, an unbreakable lockpick

Yes, you need to get your character to at least level 10, then complete Nocturnal's Shrine quest. http://www.uesp.net/wiki/Oblivion:Nocturnal

can i be any class or doesa it not matter?

is there other usfull item that i need too have as well?

Your class does not matter.

As far as other useful items, it depends how you play. Many characters find Azura's Star quite helpful. http://www.uesp.net/wiki/Oblivion:Azura

I find lockpicking simple and frustrating...hit or miss...timing is everything...an easy way to pick a lock everytime is to watch for a tumbler to fall fast,then move the tumbler once more and attempt to lock it in place.

But as stated above,Nocturnal's gift is an easier way to lockpick,although with the bonus it provides if it raises your skill to 100,you will no longer gain experience for the skill as long as you carry it.