I started the Scoundrel's Folly quest,and followed Gulum-Ei like the quest said,and when i got to the East Empire Warehouse,he was gone, so i figured id go on to the other place were he goes,and i got to the end and he wasnt there. Now i cant seem to find him,is this a known glitch,and is there anything i can do to further the quest along?

This is a known bug. Your best bet is to load a save prior to getting this quest from Mercer Frey in the Thieves' Guild (assuming you have one) and try again. You could also try the solutions listed on this page (under bugs): http://elderscrolls.wikia.com/wiki/Scoundrel%27s_Folly#Bugs. I don't know if any of these solutions would apply to your situation and I'm not sure if they even work, because I haven't ever encountered this problem.