You right-click on the door and select the option to pick the lock. When you successfully do so, your out. Then, all that is left is to walk out the door past the sleeping guard.
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It is located South of Port Sarim.
at port sarim
well, first u go to al kharid and go to the shantay pass and u talk to the guy there. You say ur an outlaw and say u want to kill him and he'll put u in the jail there and he gives u a choice to get shipped to port sarim or pay him(5 gp). (this is perfect if ur doing dragon slayer and u want to get the map from the goblin guy). Anyways, so u get shipped there and ur in a jail in port sarim. Pick at the lock on the jail door a few times and 'BINGO', ur at port sarim! So u go out of the jail and ya...ur in port sarim.
There is some at the Port Sarim Docks.
The Port Sarim jail cell has a pickable lock (assuming that you mean the one you can be sent to- not the one that one can merely walk into). You'll have to wait a bit while your character attempts to open it, but it will eventually open.