Nothing, just try to avoid the guards at this point :-) In this case it's a loop - you try to escape, get caught and again from the beginning, but as soon as you manage to escepe, you'll move on with the story :)

Every time you get caught, you get thrown in the nearest prison. Just get out and continue playing.

Note that now your house is guarded, so you need another way of getting in...

I never played far into LBA1.
Reason? The god damned difficulty. Fuck up just so slightly and you're thrown back in prison, or is it an asylum?
I mean, there are doctors there.

LBA2 was a much better game on every aspect. Hell, it even had better english voice acting.
In LBA1, Twinsen sounds both high and drunk of his arse when he ever utters a word.

As I said earlier, it's only at the beginning. Advance and the story will move on and you'll be delighted!