Guilds are referred to in two ways here: The actual location where you can practice your new skills and spells and be afforded some small safety from attacks, and the organization of all people of the same Class as you. The only Guild that really has any sort of organization other than in a roleplay sense (which is of course important) are the Thieves Guilds. If you have a character that is a Thief, you may want to join a guild in one of the cities. Each of the set up guilds are listed on the History/Current Events Page under the Political Power thing, and you'll have to pay to join. Then there will be some requirements of you as a member, but of course there will be some benefits as well.

If you're not a Thief, how you want to interact with your Guild is entirely up to how you choose to roleplay your character. Your character may think there should be a sense of camaraderie among all Shapeshifters, or you could look at it as only people that are taught the same spells and skills. And just to warn you, I wouldn't expect to be any safer from attack from anyone in your own guild just because you're of the same class.