The Riften Warehouse is located outside the city walls of Riften on the docks. It is home to Riften's underground skooma operations led by Sarthis. In addition to Sarthis and his bandits, the player may also find some skooma and some moon sugar.
The Riften Warehouse Key will be given to the Dragonborn by the Jarl. Speak to Wujeeta. She can be found sweeping the docks west of town. Give her a health potion, then ask where she gets her skooma and report her dealer to the Jarl. The Jarl will give the Dragonborn a key and ask them to ambush the dealer at the warehouse.
If Wujeeta is dead, the Jarl will not give the Dragonborn the key and it must be pickpocketed from her.