The ending is, as it is called, the end to the game Yume Nikki.
How to get the ending (WARNING: SPOILERS)
Collect all 25 effects in the game, then return to the Nexus. Drop all of your effects, then pinch yourself awake. After Madotsuki wakes back up, go out to the balcony. A set of stairs should have appeared. Walk up them, and you will see Madotsuki will plummet to her death, thus ending the game.
The ending scene is a black screen with a bloodstain in the center, followed by two of the jellyfish creatures walking in and standing there for the remander of the credits.