One of my players is kinda being "that rogue," and put himself in a situation that I don't know how to proceed.

Brief intro: Playing 3.5, Dark Sun. Last night was our 4th session.

The rogue is playing as if he is playing Skyrim, basically. Always trying to pickpocket, break in to places, and it doesn't really match his character. He is a first time DnD player, and I think I have read a decent amount on how to talk to players like this. Definitely need to sit him down to talk to him about this aspect. But any other tips about this?

Buut to the other matter at hand: so the players were out investigating a ruin for the settlement's governor, and they returned to report back. While they were away, a close acquaintance to the governor was murdered. Since they were gone when the murder happened, the governor can trust them and asks them to investigate, and gave them a writ so they can investigate.

So the players were tired, hungry, and need a drink, so they went to a mead/gambling hall nearby. The barbarian wanted to box for money, I was excited for a little non-serious/unimportant roleplaying. But the rogue decides he is going to investigate the captain of the guard, potentially frame him, or kill him, or rob him. Coincidentally, this is who I had as the culprit of this murder.

So with the writ he is able to get into the right area, asks some guards for the location of his room, telling them he has an important message for him. He's able to get to the captain's door, accompanied by another guard. Knocks, and is greeted by the captain. He fails some rolls, and the captain suspects something is up, and tells him to talk to him again in the morning.

The rogue is adamant to stay and break in, so I figure I'd have some guard patrols come by to maybe kick him out. Well he rolls well, and convinces them (with the help of the writ) that it's fine if he stays. He decides to knock on the captain's door, and hides. Captain (and myself) is definitely annoyed, and suspects something. He comes to the door, with his sword (an actual iron longsword) in hand, and slowly peaks out. I roll and he spots the rogue. The rogue has also readied to attack.

And that is when we had to stop the session. I was trying to end it at the inn, but the rogue also pushed to do this. Additionally, the rogue will be unable to attend the next session. We figure we will handle what happens 1 on 1.

Afterwards we did speak briefly. I actually somewhat enjoyed the whole experience, I am a new DM and I thought I did a good job handling it. In general I do think it is sort of out of character for him, and will speak to him about that in general when we meet up again soon.

But this situation does present a challenge. For one, the captain does know the rogue is there, and has his weapon drawn. The captain is also level 5, the rogue is 2. Do I just have him kill the rogue? He certainly would, I think. The rogue has somewhat grandiose plans about being able to make him confess, or framing him, or starting a war between varying factions of the town.

So:

• Do I give him a chance to escape unnoticed?

• Do I have the captain attack instantly?

• The captain does know something is up, can I have him lure the rogue in?

• Try and convert him to his cause?

I'm actually not sure exactly what his cause is, yet. It will either be that he is working for a rival merchant house, or he is an agent of a sorcerer king trying to disrupt the veiled alliance.

Anyway, this got really long. Any help would be great, thanks!

tldr: Rogue is in over his head.. what do?

edit: Thank you everyone for the help. This subreddit is awesome :)