This is reached in two ways; from a door in the hidden area in Level 1, The Mines, or from the King's Domicile. It leads back to the latter. A sign at F15 welcomes you to the Thieves' Den and not only is it full of various thieves but also magic users, undead, odd wyverns, polar bears and many other creatures. Some encounters have four different groups of monsters! An exit at J14 leads back to the Inn. Later you'll find stairs down at E15 and N14 which both lead to the Level 6 Labyrinth I.
There are secret doors to find using Detect and also walls to walk through. This held me up for several days. I knew from True Seeing and Read Tracks that there was more to explore but couldn't find it. Detect didn't help. All you need to do is walk through the wall at M16 - simple when you know how! Then through another at P14. Thanks to Maureen Barton for helping me out there.
There are a series of hidden rooms along the top, each accessed by walk-through walls. Tough fights in here but good treasure too, especially at P8 (I got a sensor prism, beastly shield and bow of sorrow) and P9 (a cabinet holds various scrolls and potions plus there is 15000GP in a sack). P11 isn't bad either (a purple lockpick and 1250GP in my case).
If you come to a dead end, start backtracking, checking walls using Detect and trying to walk through them. Sometimes you'll find a hidden door which is locked too. Use a lockpick - I stuck to my trusty blue lockpick. To return, sometimes you walk back through the wall, other times a door appears. A blue lockpick is the only one that will unlock the door at A1 - behind it is Sinestra's Fountain which makes you feel more healthy and experienced when you drink from it.
Back on Level 1, the Soldier's Quarters, an NPC told us we could learn new skills in the dungeon and this is the place. Thieves will teach you various skills ... Detect at E5, Bard Skill at J9, use of staves at the Staff Training Centre (ho, ho) at C2, Archery at A7, Lockpick at C5, Fencing Training Centre at H13 and The Axe and Club Training Centre at M6. The Thieves Infirmary where all your wounds will be cured is at N8.
There is a secret door (locked, use your blue lockpick) at N12 and a tough fight beyond (in N13). The north wall here also has a locked secret door and behind THAT at O13 is oodles of treasure - well, 5000GP, plus several goodies and the Thieves' Key. Very handy. The locked door at P15 opens using it. Behind a door at K10 a wise old thief tells you some useful tales, you're told, but what use they are I have no idea! If you return, he is asleep and can't be woken.