Ofelia wakes up with the insect in her room. When she shows it a picture of a fairy, it changes into what basically looks like a fairy.
It leads her into the labyrinth and she goes down some stairs that look a lot like the stairs the princess went up in the opening story.
Inside, she meets a creepy-looking faun who tells her she's the princess of legend. The stone in the center of the labyrinth is a portal to the underworld that she must use to return to her true parents.
But first she must complete three tasks before the full moon, to make sure she's maintained her essence and not become a mortal.
The faun gives her a blank book and a small bag of something and then disappears into the darkness, leaving her alone.