Im at the thalmor party and I didn't give Marlborn any lock picks or anything and I didn't save before I talked to him. Is there and lock picks inside the party that I can find? Or how do I get past it?
You'll never need lock picks for anything. Picking doors just makes the quest easier but theres always an alternate route. If you need lock picks you'll be provided with them but I've finished the story and never ran into a spot where you have to have them