SPOILER The Thanos Vault

When you say how do you get into the vault... You mean you don't know where Thanos is (because most people think it's the barracks, but it's not) or you don't know how to open the vault?

If you don't know where Thanos is: You pass through two big arches, then you take a left turn, following the trail of fire on the ground, then you pass through what seems like a cave, going forwards you will see to your right the entrance to Thanos. Inside Thanos, right in the middle of the room there are signs to the treasure room, simply follow them.

(I placed this one with spoilers in case this wasn't your problem, and you don't want to be spoiled).
If you don't know how to open the vault:

Spoiler

Inside the fake treasure room, opposite to the entrance there's a 3x3 door, surrounding it there are wooden pressure plates spread around the floor, simply put something (like emeralds for example) on the pressure plates and the door will open.