What do you do with Roxy the fire girl what does it mean explore ?
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It means click on the "EXPLORE" button on the map :)
I'm guessing you're at the point where you need to find the burning building, in Act Two? In that case, go to the town map (the one with the Manor on it) and click "EXPLORE". Then search in random directions until you don't get an event. After that do not visit the escort girls and instead carefully read the text description that follows - it will point you towards the burning building.
Hope that helps!