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You unlock the transformations whenever you reach the end of a shapeshifter's temple. To get to the first one, you should sleep at home, and get a visit the next day when you try to leave. You can then go talk to that same person in the mage guild, and among other topics, you'll eventually find the option to ask him to guide you to the first temple.

If you need more help with puzzles and whatnot, there is a link to the walkthrough in the installation folder, that should cover most of the stuff you'll need.