The Shadow Thief Guildhall is the base of operations for the Shadow Thieves in Athkatla and is located in the Athkatla Docks.
In Baldur's Gate II Chapter 2, if you are a Thief then Gaelan Bayle will refer you to Renal Bloodscalp and recommend you speak with him here. Otherwise you will have to find the Guildhall yourself.
In Chapter 3, if you side with the Shadow Thieves you will need to come here to speak with Aran Linvail. If you side with Bodhi you will have to come here to kill him instead.