You'll wake up in Lily Village with Cologne. After she talks, go and talk with her again; you'll learn about the Star Pillow. Go up and talk with Akane, she'll rejoin, and after this you can talk with Cologne to change your party members. Buy every thing you may need at the east part of the town, and head to the north in the town to find the Cave of the Ancients.
CAVE OF THE ANCIENTS: This is an easy and a short dungeon. Go ahead, and ignore the first path to the right, it's just a dead end. At the end take first the left path to get a chest, and afterwards the right path so you reach the next floor. On the second floor you'll eventually see a path down and another straight... both leads to the same place, but take the path down to take a chest. After this you'll reach the staircase to the last floor, where you'll have to fight 4 Warrior Spirits, who really are your same team.
Boss: Warrior Spirits x 4
After the battle, you'll get the Star Pillow, so you are now prepared to go after the Ghost Cat King. To reach his castle you must go through Devil's Cave, which is located to the south of Lily Village, so exit it and go around the mountains either way and you'll find it.
When you enter you'll see a staircase with a barrier behind it, and three teleporters, in each one you'll find a boss; talk to fight them. From left to right you'll find: Suzaku (II), Genbu (III) and Byakko (II).
Boss: Suzaku (II)
Boss: Genbu (III)
Boss: Byakko (II)
When you beat all of them, the barrier disappears, and you'll be able to take the stairs to the next floor. The second floor is a bit big, so I've made a map for it, you can see it in the Maps Section of clicking here. In the fourth floor you'll just find a narrow path, follow it, you'll see a teleporter that leads to the world map, in front of the Ghost Cat King Temple.
This place is shorter than you would expect... when you enter, you'll see several paths together, the second and sixth ones lead to a chest, and the fourth (straight up from the entrance) you'll find the stairs to the next floor. In the second floor you'll find a chest in the left and right paths, and the staircase to the next floor is down. In the third floor you'll see Seiryuu blocking the next stairs, after talking with him and finding out his secret you'll have to fight him.
Afterwards you'll learn why of his acts. Take the stairs to the last floor, where you'll find Ghost Cat King. Talk to him and the last fight starts.
Boss: Ghost Cat King
With the Ghost Cat King beaten now the only thing to do is sit and watch the end. I hope you have enjoyed the game.