(Opening it will transport you to "Canine time", which turns you into a dog in a backyard with no exit. You will have to wait until time passes for the sequence to end. Whisper can be seen talking to himself about how he misses the main character. The man that gave you the box also appears saying "You can't say I didn't warn you. Beware of the box." The character promptly wakes up from the odd event.) I don't even know, but this happened to me. I'm pretty sure no one else has seen it yet.
Just saw the epsiode of the anime and no, Nate really doesn't turn into a dog. He wakes up from the dream but starts seeing things like a pawprint on his bedroom window and his mother brining him dog food. The original Japanese ending is a lot scarier than the dub, I will say that.