Specification: the four "doors" (or what I've seen others call the four "ages"), are four different sequence/steps in the sweat lodge. Each door has its own prayer/songs, and is over once the leader calls for the fireman/firewoman to open the "door" of the hut and bring more rocks in. This way, you may breathe a bit before continuing the ceremony.

This strip only gives the main idea of what each "door" is about, in the Lakota-style. The prayers may change depending on the leader, the tribe's tradition, or just the mood of the ritual. 

The song in the end is one of Thanks. In Lillian's case, it might mean other things as well :)