To get the lockpicking skill you first do a quest that you get from your rogue trainer. You will got to SI-7 in Stormwind, talk an NPC (a goblin) there who will send to Redridge. At Redridge you will talk to another NPC (a dwarf on the docks) whos gives you a follow up quest, the Lockpicking skill, and a set of Rogue's Tools. You then goto a Lumber Mill to the east of Redridge and practice your Lockpicking skill. There are 5 Practice Strongboxes that you can pick. They will quickly respawn so you can keep picking them until you get 90 skill or so. Then pick the quest Strongbox, and head back to the NPC in Redridge.
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