when azurill falls into the nightmare someone will tell you to go to the top of mt travail to meet drowzee. once you meet him you will go back to the guild with him and he will ask if you are ready to go inside azurill's nightmare
you have to beat the graduation exam and go to the cross roads and chimeco will be there he will say that you can make another Pokemon a leader for exploring (if you recruited any legendaries use...
I'm pretty sure you take a quiz, and then choose your partner from the remaining Pokemon. Feel free to turn off the game if you don't like your Pokemon and take the quiz as many times as you wish.
In the Pokemon Mystery Dungeon games you are a Pokemon. So, yes you can be a girl, but it does not change your appearance. Your gender and your nature (which is found out by a test) determines what...