The Dojo is researchable after playing the first level of Episode two.
It is located right of the Mystic Library, and opposite of the Armory. On its own, it does not provide any research projects, but allows you to acquire projects from scrolls or MIA Gun victims. Additionally, completing the Pagoda level has Master Yuzuki move into the Dojo.Talk to her once to unlock ninja training. Research is done through the research console, once bought there will be a Dojo tab at the very bottom.