Well, it's not much. In fact, it's really not anything at all…yet. We can see that the workers here are building some kind of tower. By talking to one of the workers, you find out that a Colosseum will be built here.
Now, you’re probably wondering, "How do I purify my Shadow Pokémon?" You'll notice if you check the stats of Makuhita or your JohtoStarter that you snagged, you'll see a purple bar. This is known as the Pokémon's "Heart Gauge." It has five levels on it. The idea is to slowly empty the Heart Gauge by keeping the Shadow Pokémon in your party, battling with it, putting it in the Day Care, or using Cologne on it.
Sometimes a Shadow Pokémon will enter Hyper Mode. It will spend a turn having its emotions "rise to a fever pitch." It will only have a chance of entering Hyper Mode if it has been ordered to use Shadow Rush. Its status meter will turn red and black, and an Aura of the same color will appear around the Pokémon, presumably only seen by Rui. The effects are as follows:
You can battle all of these trainers whenever you want. This is a great source for training early in the game. If you want to get some extra EXP points, or help your Shadow Pokémon become purified, here is a good place to do it.
After all the Snagging, go back to the green building near the entrance of town. You'll see Officer Johnson bumble in and report his findings to the Chief, Sherles. Sherles has already heard it a lot before. Talk to him and he'll tell you that Pyrite Town has descended into a state of lawlessness.
After talking to him, use the PC. Deposit all your weakened Pokémon and immediately withdraw them again, so that your team is fully healed. Or you can switch your team around. I'd keep Espeon and the Johto Starter for sure. Possibly Makuhita, but I would get rid of Umbreon for now and withdraw Flaaffy, Noctowl, and Misdreavus. If you chose Croconaw, go with him rather than Quagsire for now.
Inside one of the prison cells, you can find a prisoner. In the bottom cell are Folly and Trudly.
If you really want, instead of going into the Police Station and depositing and withdrawing your Pokémon to heal (because that takes a while), you can go to the Super Grand Hotel, which is just south of Duel Square. It only costs 100 to be fully healed, which is fine because you can just earn it back by battling in Duel Square for more money.
Go over to the Poké Mart and you can buy some things (if you haven't already done so back in Phenac City).
Once you're done here, go to the building near the entrance that has the letter G on the front of it. Talk to the man behind the desk. His name is Duking. He is a very important character later on. He doesn't seem to be interested in talking to you at the moment.
Talk to the bookshelf on the upper left and it will open up a secret passage. Enter there. (Who wouldn't?) Talk to all of the kids there. These kids are aptly named the "Kids Grid." Exit the secret room and you'll see a man talking to Duking. His name is Silva. He's letting Duking have it for not doing anything about the Colosseum. Oh, well. Exit Duking's house.
Go all the way north to the Colosseum. Talk to the receptionist. You'll find out the current battle is also already going on. Talk to the Hunter on the left and he'll tell you that a guy named Cail has an "awesome" Pokémon.
Remember Cail from before? The guy at Pyrite's gate wearing black and green? Go back and talk to him. He'll battle you.
In the top right corner you'll see a shining Gear.
Pick it up and head on back to Pyrite Town.
Go back to the windmill and return the Gear into its place. Duking will come in and he will see you as heroes. He encourages you to enter a Colosseum challenge. First, however, go to the Police Station. On Chief Sherles' desk, you'll find the Jail Key. Open up all the cells. Use it to free the Chaser. He will leave behind TM46 (Thief). You can open all the other cells, including Folly and Trudly's. They still won't come out of their cells, however. Now, prepare to enter the Colosseum.