Prox is a pretty dismal place, isn't it? First of all, use whatever services you need to. A good thing to note is that the all-purpose shop here now includes Mist Potions in the normal items for purchase. This is very helpful; the only downside is that they cost 9000 gold apiece.
Now, there are several extra things you can get whilst you're here. Use Lift on the boulder just to the left of the bridge and the frozen river. Go underneath it, and walk around to a previously innaccessible buried item on the other side of the igloo. Use Scoop to dig up the Dark Matter here. Now, head up through the hole in the fence to the frozen river above the little girl, and keep going up, using the holes in the fence to get around the rocks. Keep going up to the next area.
Let's play kick the Djinni! When you reach the slippery ice, go straight up and you'll send the Venus Djinni across the ice into a cliff. Unfortunately for it, being kicked is not enough - it gets buried under a pile of snow. Go up to it and use Scoop to dig Mold up. Surprisingly enough, it'll join your party without a fight. Make sure you set it to either Felix or Isaac. There's nothing else to get here, so head back down to the town area.
Head north to the main section of the icy lake area you were in before. If you didn't get all the Djinni from Golden Sun, then you will want to head right here and go across the bridge to the house. This was, originally, where Felix's parents and Isaac's father were being held, but they've disappeared. Inside the house, there's a random Mercury Djinni from GS up for grabs (provided you either missed one in the save you transferred, or you didn't update).
Head back left and take the path upwards to where the soldiers and the town elders are. They'll remark on the fact that Agatio and Karst have been gone for a while, and they aren't coming back. Soon, the blizzards further north will make getting to the lighthouse impossible. So, they're going to wait for a miracle.
And you, good player, are that miracle. Approach them, and Isaac and Kraden will convince them you can accomplish the task of lighting the beacon. So, once the scene's over, head on north. You'll soon see the endless rift off the top of Weyard - and Mars Lighthouse.