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The dig location should be more brown than yellow. To mine, you should hit the D key to open Designations then D once more for the mine tool. Then you hit enter and move around using the arrow keys, hitting enter once more to create the dig location between the initial spot you hit enter and the spot you last hit enter. If this doesn't do anything, it's because you can't dig on the type of ground you're on. I usually start by having my Dwarves build downward staircases (D -> J) then hit > (shift-.) to go underground and build upwards staircases on the same squares as the downward staircases, which should be above them when you go back up (<), then I mine out a fortress underground.
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