After you have got quite far into the game, the Darkwood Bordello will open. To get to it, go through Barrow Fields to Darkwood lake, then go throught the side exit within. Once in, have a look around and stuff. Now, to get into the demon door, you need to have sex about 15 times because that's what it worked with for me. I used Amelia (She could be called something else, I don't know - she costs 100 gold) but previously I used Polly, and that took much longer. Just keep doing it until the demon door thinks you are worthy, and go in and claim your Pimp Hat.
Right, on with the mini-quest. Talk to the woman, then the man. They will talk about the Bordello Deeds. These are placed by the statue located at the entrance to the Bordello, by the big tree. Use a spade to dig these up, and show them to the lady. Now, I have never actually kept it as a brothel, so please can someone tell me what happens! If you convert it, then it will no longer house prostitutes. Pity. And that's it, basically! Oh, and get some alcohol and give it to one of the prozzys, it is quite funny!
Good Luck (Not that you will need it!)