After finishing Diplomatic Immunity, the Thalmor Embassy will be locked and can only be opened with a key that you cannot find in the game. However, you can still glitch your way into the building. To do this, you have to ride your horse up the stairs to the left of the entrance over to a tree next to the fence. If you repeatedly jump in between the fence and the tree, you will be able to climb your way over the fence and onto the other side. From there, you will have free reign to go wherever you wish inside.