To unlock this secret dungeon use the save point just before fighting Gabriel so your save icon turns blue. Then return to the arena in Fun City and speak to the old man in the stands in the north side. Accept when he tells you he can recover your memories and you will return to Arlia on Expel. When you then leave Arlia you will have your Psynard. The Cave Of Trials can be found at the lone dot on the desert island which is southwest on the world map.