Weird, I tried again and it worked fine for me. Did you check the boxes for the wrench to dislodge the key, find the dildo and then try the door?
Edit: I tried again and I think you have to masturbate with the dildo and let the dude in the hole thank you, then try the door. I think if you skip the sex scenes you don't even get to meet the agent. In retrospect I kinda like how it lets you choose if you want it to be nsfw or not.