In order to open Etna's Room, you must find two secret button's in Laharl's Castle. The first is found behind the Throne and the second is found inside the Skull that is seated on the RosenQueen's Store Counter. Once you have pressed these two buttons, go to the room where Longinus, Ghoss, a prinny, and Gargo hang out. Press X in the corner behind the prinny to uncover the door.