Note! This mission is part of a series of quests that you can receive from Vex at The Ragged Flagon. Completing them isn't necessary, though it will improve the Guild's financial situation and give you additional City Influence missions.
All The Burglary Job missions have the same objective: burglary. Each time Vex will order you to reach a certain location (Markart, Whiterun, Windhelm or Solitude) and steal a valuable. After filling up your pockets, return to the quest giver and collect your prize.
You can repeat this mission as many times as you like - further objectives will be randomly chosen and there's no limit to them. Just remember not to kill anyone while you're at it, as it will deprive you of any prize and additionally you will have to pay a fine. If you get caught red-handed, you will fail the mission.