In the very beginning of the game, if you go to the guard in front of the first travel shrine before getting the Thief Key, he'll be awake. He'll tell you that the shrine is locked and that if you have any problems with it, you can take it up with the king. If you go back to the king and talk with him (all of this has to be done before getting the Thief Key) he will join your party.

If you go back to the guard with the king, the king will fire the guard and unlock the door for you. The door to the Temple of Tarnhelm will also be unlocked too, so you can completely skip getting the Thief Key if you want. The king can't be controlled in battle, and once he unlocks the door he will leave the party.