We had a Dora party for DD when she turned 3. I bought invitations/supplies at Target, and I bought a Dora cake mold and icing colors at a craft store. We played "pin the tail on Boots" with a poster sized Boots picture I blew up and tails. Then we had a safari hunt. We used green balloons for the spooky forest (our living room) with green streamers hanging from them (tree trunks), and blue balloons for the rainforest (our hallway) with blue streamers. Then DH dressed as Swiper and swiped the birthday cake! The kids each had a map to find the cake and safari hats (party store). After they went through the rainforest, they had to make magic wands (kit from a craft store). With their wands they entered the spooky forest where they had to put Swiper in his fox hole (the old "clothespin in the can" game with a small plush Swiper doll and a large coffee can decorated like a fox hole). Each child stood on a chair and dropped Swiper into his hole. Believe it or not, this took a while. Then they arrived in the dining room where the cake was hidden to find the cake. The kids really loved the activities and had a great time. It was a 2hr. party (well...a little longer) - pizza, activities, free play, and cake.
Hope that helps!