This ain't in the first game OK?
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The Prison appears in The Denpa Men 2 Beyond the Waves as it is the place Jasper is trapped in along with the dwarf who'll allow you to transfer Denpa Men from The Denpa Men They came by Wave into the 2nd game. In the 3rd game, a specific dwarf who knows about the fire idol, is trapped inside a prison, therefore, you need to go to that prison to break him out. He'll later tell you your info.
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Wayne standing in front of the Prison in The Denpa Men 2