Don Lu's Dog is found in The Wedding's level, The Darkness. He has a light attached on him, to help lead you through the darkness, and is used many times to reach higher place and travel over spikes. He is captured by The Collector closer to the end of the level.
Don Lu's Dog is also found in The Collector's Lair, trapped in a cage like many other of the characters throughout the level. Freeing him will allow you obtain two prize bubbles enclosed in trapped cylinders.