Story Related and Unmissable.
As the achievement says, all you need to do is enter Delvemore Dungeon. You'll do this simply by progressing through the floors.
*** Spoiler - click to reveal ***You will have to defeat "Selt, Queen of Sand". Which is the sandworm boss. That will give you the key used on the door with the guard and mage, through the door you will be able to jump down into the next zone, which is the Delvemore Dungeon.