I'm stuck in the Sand Zone looking for Jenka's 5 dogs. So far I have found 4 of them, but can not find the last one! Could someone please help.

Did you find the one in the chest?

Since there is a spoiler warning in the tittle i think it's ok.

There is one on the bar, you must talk with one of the Colons (the little mimigas in Curly's care) to pick it up.
One hiding in a chest, look for the paw mark in the wall near the sunstones, those are secret passages.
One is running in the lowest floor, where are skull and bird enemies after Jenka's house.
Other is near the warehouse.
And the last one is in an abandoned house on the celling in the lowest floor after Jenka's house, where are the skull and bird enemies.

And and important warning, for those that didn't read it in the other thread, that i will leave it for a part latter in the game to avoid frustration, until the patch comes out.
DON'T OPEN THE MAP IN A PLACE CALLED "OUTER WALL", YOU WON'T EVEN NEED IT, IT WILL MAKE YOUR GAME CRASH AFTER CHANGING LOCATION!!!

Right after I posted this I found it and it was the one in the chest I had not found. Thanks for the help anyway.

You have clime in a wall then you come to a door open it there is the 5th dog.

I need help in cave story in section 3 how do kill bolder boss.What gun to use?

In order to unlock Curly's story and the boss attack, do I have to beat the story in normal difficulty ?

Possibly. Just go for the best ending in Normal (Easy might work too, but I'm not sure) and get Curly's panties along the way. You should have everything unlocked after your game ends.

What means "game crash"? Is it something like erase your save or block the Wii?

There was a bug with the map in the original release of Cave Story Wii. Opening it in the Outer Wall would cause the game to crash (the game froze, forcing you to turn off the Wii, but save files weren't affected). That was a couple years ago. Nicalis have since patched the game, fixing that bug, along with some other things.

Step one: Get some missiles.
Step two: BLOW IT TO KINGDOM COME!