The Da-Chao Fire Cavern is a cave located in the Da-Chao mountain range near Wutai. The first time you venture to Wutai to complete the side quests there (retrieving your stolen Materia back from Yuffie and then obtaining her Level 4 Limit Break and the Leviathan Materia from the Wutai Pagoda) you likely were unable to enter the cavern.
In order to enter the Da-Chao Fire Cavern you must possess the 
Leviathan Scales which can be obtained in the Underwater Reactor just before you jump into the Shinra Sub to chase the Leader Sub with the Huge Materia.
This means that the Da-Chao Fire Cavern side quest can be completed both on Disc 2 and on Disc 3. If you did not pick them up when you passed through the Underwater Reactor you are out of luck. There is no way to go back and get them and you will not be able to enter the Da-Chao Fire Cavern.
Travel to the village of Wutai on the western-most continent. Note that you may need to complete the following side quests before you can enter the Da-Chao Fire Cavern if you have not done so already:
Enter Wutai, cross the bridge and follow the trail leading toward the mountain range past the 
Save Point.
Take a right at the first fork in the road, follow the pathway around the monk’s head statue, continue left and enter the cave at the top of the screen.
Approach the flaming wall and a message will appear reading “The Scale of the Sea God” shines! Push the wall back one more time to reveal a treasure chest that contains an 
Oritsuru weapon for Yuffie. The Oritsuru is a very powerful weapon both in terms of Attack power, Attack % and the number of Materia slots it contains.
Continue down to the lower section of the screen and use the Leviathan Scales to push back those flames to reveal a 
Steal as Well Materia sitting on the ground. You are now done with the Da-Chao Fire Cavern.
Note: If you missed the Leviathan Scales during your playthrough of the Underwater Reactor there is no way to go back and retrieve them and it will be impossible to enter the Fire Cavern.
