Instructions
Play through "Crisis Core" until you reach Mako Reactor #5 in Chapter 4. You will receive an email, indicated by the mail logo that pops up in the top right of the screen. Hit the "Triangle" button to pull up the main menu. Select the "Mail" menu and read the email from the Treasure Princess. New missions in your "Missions" menu appear.
Travel to the nearest save point. Missions can only be accessed through the save crystals that dot the game map. Go to the main menu and select the "Missions" menu. Select the "From a Hot Treasure Hunter" category and read "Suspicious Mail 1" to start the mission.
Run east from the starting point. You begin in an enclosed farm area with a small fence. Walk east through the opening in the fence. Turn south and head toward the water. Look for the the lone tree by the water, which has a treasure chest beside it. Open the chest to receive the "Chocobo Feather," which automatically adds the Chocobo in the randomized DMW menu.
Run east after opening the treasure. Look for the monster jumping up and down to the side of the barn. Walk up to it to start a battle. Defeat it to end the mission and to retain the "Chocobo Feather."