Well, I been there, and the Kid Orphanage outfit thingy works, but she won't change into her white dress no matter what tracks I play.
Also, I used the Walk Through Walls gameshark code to go through the Locked door, but there's absolutely nothing. If you disable the cheat while on the stairs or behind the door, you'll be stuck, wich means they made the terrain unpassable, and wich already gives away they didn't put anything behind the door.
If you leave the code on, walk up the stairs and enter the doorway, the game will start to act weird. You know, graphical mess-up, all that. You won't be teleported anywhere, either.
So behind that Locked door is absolutely nothing, and the creators didn't mean to have you unlock it or something like that.