The imp should have given you an orb. Check your misc inventory, and click on it. Make sure you open the golden jug which brings you up a level first, though.
Speaking of which, there is one particular jug that I haven't managed to find the key for, not that it matters now because I left, but where is it? It's one jug somewhere northeast, before you go to the gates, not the one at the door.
There are 6 keys and 6 golden jugs. However, only 5 of the jugs can be opened (a couple people said they got all 6, but most are left with one locked jug).
Sometimes the orb is really hard to see in your inventory. It will occasionally hide if your's is as cluttered as mine was. Just move things around a little.
