If you are at the level in Conjugation were you can summon a Deadra Warrior (the one that has deadric armour and looks sort of like a human), then while you are in jail summon that deadra and attack it 3 times with somthing weak so you dont kill it.
It will start to attack you and the guard will run in and kill it, leaving the door open.
Once you're out of the door the guard will not attack you, only tell you not to escape!