Hello Sauron, and welcome to the board! I don't know really what's the problem with the little rat. If you have recieved the quest from Scanthril and you killed Rascalion (hope I got his name right) you should get the dagger when you ask for payment.
It will be sometime before you can ascend to Valkyrie, and as Neb says you need to have a female character. For a spoiler you can try this link, which directs you to the Best tips thread here on the board (a great thread with LOTS of useful info. btw)
Valkyrie spoiler
Cheers!!! Jazzid