@Korou
Well first you have see them in you sleep. To do that you have go into the set character menu when your at home. Then move any three characters to do 1. Top left corner of first part 2. Bottom left corner of first part 3. Bottom 2nd from the left slots. When you go to sleep you should see the names of the characters you put into those slots. Click any of the names, and see if they have any stories available. Depending on the character, there are requirements needed to unlock certain stories, (ie. Hit lvl 40, have another certain character in the same dream. etc). Now click the desired story tab to commence the story. After a short dialogue you enter a battle to fight someone (this varies depending on the story). Complete the battle/ Win. And you'll see after a bit of talking the characters affection will raise by a certain amount.