This level is based around a long underground lava river in a meandering loop, with walkways on both sides. Near where you begin, stairways on either side lead down to the river. Ahead is a lava-filled cave mostly obscured by a wall, with two Blue Doors and two more closed doors near the entrance. When you first go down any of the stairways, watch out: behind where you began the level, a door will open, with an enemy horde inside. It's easy to be caught off guard by them.
Go to the cave first, and quickly run across the lava around the wall to the ledge at the far end of the cave. Be careful around the fumaroles: they spit up fireballs. You'll see the Blue Key covered up by the wall. Hit the switch here, and the doors near the cave entrance will open. Inside are identical (mirror-image) areas, each with a Green Door. Go to the door on your left, and collect the Yellow Key on the ledge in the window. Go back to the cave, and in the other door to that side, and take care of the enemy here so he doesn't sneak up on you later. There's an item here too.
After you get the Yellow Key, go down to the river, follow it from end to end, and clear out all the enemies. There are many items, mostly in the lava. You'll come across the Yellow Door halfway along the river. After clearing out the enemies, go back to and open the Yellow Door. In the lava pool in the middle of this room is the Green Key. When you pick it up, several more doors will open, leading outside to an iced-over area. There are lots of items here, plus Wings of Wrath.
With the Green Key, go back to the cave and to either Green Door. Inside here is a long U-shaped corridor going from one Green Door to the other. At the midpoint of the corridor, find and hit the switch in the nook. The Blue Key in the cave is now uncovered. The room you see through the windows in this area is the level exit; you can see the exit symbol on a door, and the exit portal.
Go back to the cave, get the Blue Key behind the wall, and go through either Blue Door. Past each is a series of rooms with rectangular lava pools. Both go up to a central room with the door to the room with the level exit, that you saw through those windows earlier. Be sure to explore the rooms inside both Blue Doors: there's lots of ammo and several items throughout the area. Plus, in one of these rooms you'll get a new weapon: the Firemace. This uses Mace Spheres, which you've also first seen in this level.
Before leaving, there're some bonus items you can get. Go back to where the Blue Key was and hit the switch on the wall. Then, go down to the river. The switch you hit lowered the lava falls at each end of the river, and the items on top (you probably saw these earlier, along the lava streams upstairs) are now reachable. At one end you'll get another new weapon: the Phoenix Rod. This is a fine high-power launcher that's great for large and boss enemies. Use this in open areas, and stand back when you fire: you'll take a lot of damage from backsplash if you're too close. It uses Flame Orbs, which will frequently be found on top of lava. (You've seen these for the first time in this level, too.) After you're finished and have seen everything, go to the level-exit room, and step into the exit portal to continue your mission.