There are two main versions of this game. Right now, I am talking about the version where you need to get into Wee World with a key.
You must first use the "camera-like Spy Gadget" to take a photograph of one of the keys. Once you take the photograph you have to put it in an oven so it can turn into a real key. Only the chef already there won't let you use the oven there because Spy Fox does not look like a trained chef!
Go into the Wax Museum and use the "Heat Spy Gadget" to make the thermometer turn very red all the way to the top of the thermometer so as to make it look like it is very, very, hot inside the museum. The security guard will leave the museum to call the air-conditioning company so the wax statues won't melt!
Once the security guard is gone, go into the Wax Statue Room. Notice that there is one wax statue that has a chef's costume on. Click on that statue. Now the chef's costume is in Spy Fox's tucks.
Go into the restaurant again and put on your chef's costume. Now you are allowed to use the oven. Bake your photograph before going back to Wee World. Try your new key! Don't be surprised if you don't have the correct key the first time!
At the end of the game, LeRoach tries to escape from Spy Fox. Of course, you can allow him to do just that, but if you want to capture him, you must follow him down the hole. Eventually, if you do things correctly, LeRoach will end up in Spy Jail instead of in Fiji, the place he was planning to escape to.