During act 2 you unlock the EXPLORE icon in the map.
You have one for each map (Outskirts, Town and Mountains)
If you explore in the town you might stumble upon a building that's on fire, that is required for Roxy's storyline.
But to explore the building on fire you need something to avoid becoming extra crispy.
You get a power from training with the goblin witch, she appears when you explore in the outskirts.