Hi! There is a dungeon indeed and it's a very important feature of the game.
I don't remember the quests step-by-step but the TL;DR is:
- By talking to Rory will make her upset/afraid of you;
- Then talk to Missy and she will give you money to buy a doll to Rory in order to open her up to you;
- Go to the Toy Store and click on the doll's boxes to realize you don't have enough money to buy it;
- Talk to Alyssa, store's clerk, and she will tell you to work for her to make some money by going into the Toy Factory (the dungeon) and getting some toy's chips back to her.
- Alyssa will give you the key of the factory and you can enter it from the back-room of the store itself.
And that's the best way a can explain you. Hope you can enjoy the game even more now.