The Redemption of Althalus by David Eddings

Althalus - burglar, armed robber and occasional murderer - is commissioned to steal a book by a mysterious cloaked stranger named Ghend. Althalus sets off to the House at the End of the World where the book is kept - after stealing Ghends cloak; after all, winter is coming on.
At the House at the End of the World. in the same room as the book Ghend described, he finds a talking cat. What he can't find once he's in the house is the door by which he entered...