Don't judge me please. I am not the brightest person when it comes to mods and morroblivion is my first real mod.
I spent a lot of time getting this installed. After long hours I can get it to load on the boat, then it tells me my order is wrong, and I leave the boat and I am missing buildings. I save, change the order and load back up and everythings there. If I try to start once I fix order though, I start out in the jail cell... Not too big of an issue.
Anyways, I play as a thief and I can't equip lockpicks or use them. I am speaking of the very first lockpick you pick up at the consensus office.

Download LOOT and run it for
Download LOOT and run it for Oblivion - that should fix your load order issues.
As far as I know those lockpicks do nothing - I always just sell them. You'll need the original lockpicks from Oblivion to pick locks (they can be found in Vvardenfell, they're just hidden. The Thieves Guild sells them and a few bandits carry some).