Im not sure what guide you're using, but its very hard to explain in words. Using http://www.gamefaqs.com/console/ps2/file/562386/27179 its a lot easier to figure out. In order to open any door, you have to approach it from the east side. In order to see where you are on the map, just find a treasure chest and find the item, and look where that is on the map, then you can kind of orient yourself and eventually collect all the treasures and such. Make sure you get the AP Egg before you leave, as its a very nice acc with triple AP. To get the chocobo, you have to open all the other doors first, then his.
You must open the center door before you can open the others. After opening it, you'll be in a hallway behind the others but they won't open from that side. Here's a map of the best route if you need it, red lines are unused path ( X in the legend should be a red line ).