Getting thrown in jail is relatively easy, just commit a crime in any populated town or village and get caught to have guards summoned to your location. Once the guards arrive they will give you 3 options, one being "Go To Jail". Select this option to be thrown in the slammer.
Now once you are there, breaking out is also (relatively) simple. I recommend making a save before you attempt this whole process. All your equipment will be taken from you in jail, except a single lockpick. Once control has been returned to your character, you can pick the lock on the door and you should get the trophy shortly after. Again, you only get 1 lockpick, so be sure to save again before attempting the pick in case you fail. I also recommend the save as if you are spotted breaking out of your cell, guards will attack you onsite and unless you are higher level they can put a hurtin' on you.