I don't really know what to say... it's interesting at least.
Capitalizing every first letter of a word isn't correct however, only the first word in a sentence and names should be capitalized. It's also very short, but as you've stated it is Unfinished. I'd like to see more descriptions and more of.. well everything personally. This could be an interesting fan fic, with some work. Also the topic title is misspelled, it should be "The Thief: Dark Beginnings". The entire journey across the city could be expanded upon, the avoiding of guards, the weaving through the city streets. I assume this is set in the Imperial City, however we aren't told that much. The entire time in jail could also be described. Overall I feel you could add more to this and it would improve it.
"I never asked for this. I was just a teenager, just fooling around, when I got the note. Someone stole my bully's favorite book"
[insert description of the bully]
eg. He was a broad tall boy, Hrothgar, a Nord he was, brutal and viscous. I had to put up with him every day for the last five years of my schooling career, the book that was stolen was a diary. How I would have loved to read that book, to find out all his deepest darkest secrets. It wasn't me who stole it though, yet I was blamed. We were sat in class when he realised it was gone, I was in the middle of writing an essay on mundus when he sneered and stood up from his seat and yelled, "Thief! Thief! He stole it!" The gaze of the entire class fixed itself on me, the Altmer teacher scowled and began to move closer and closer towards me. It was then that I thought, "F**k it" and I ran.
By just adding a few small details it makes it more interesting to read.