Q:

Where is the birthday cake that Dudley wants during the Occlumency lesson? 

When Snape tries to teach Harry Occlumency, we enter a dream state where we see Dudley with a cake floating over his head, the LEGO game indicator of him wanting that item. 
Where can I find it? 

A:

Looking around the playground you will notice several sandboxes with ghostly pawprints over them, the typical "dig here" marker.   If you smash up the items in the immediate vacinity you will get some parts which combine to form a bucket truck which you can then use to excavate the cake from the sandbox. 
After you liberate the sandy cake (yum) take it to Dudders to continue through the area.