First go to Niray's house and talk to the kid you saved.

Then, at the Phon Coast, look for a man by the rocky area, "Fallen something" and there will be a shiny spot next to him and thats the key.

Take the West most area (Lhusu Mines) and go north to Gilgamesh 2.(there will be a Blue Crystal right in front of the area you fight him.) He's way harder than his first form so be careful.