I think the locked door you're talking about is correct; the bandit is supposed to open it in a mini-cutscene. No keys as far as I can remember, but there's one or two secret rooms to loot if you haven't found them yet : )
Yeah, he opened that one, but then where do I go? The place I came from is blocked by rocks (you see a short cutscene of these rocks falling) then the rest of the place is blocked. There is another locked door but none of the keys I have open it (unless you somehow "equip" keys?).
