The Way to the Dawn is the name of Riku's Keyblade in Kingdom Hearts II, based from his Soul Eater. This Keyblade reflects the fact that Riku is a halfway being. It makes its first appearance when Riku arrives at The World That Never Was to rescue Naminé and Kairi from Saïx.
How and when Riku obtains the weapon is unknown but most likely after he leaves the Land of Dragons. However, why he still uses the Soul Eater in the Virtual Twilight Town and the Land of Dragons is unknown. It seems to possess all the powers that Sora and King Mickey's Keyblades have.
Despite having transformed into a Keyblade, as a force of habit (when Sora talks to Riku immediately after slaying Luxord), Riku still refers to the Way to the Dawn as "Soul Eater." Incidentally, not counting the labeling of his attack cards in Chain of Memories, this is actually the first time the sword has been referred to by its name.
Way to The dawn probably takes its name from the ending of Riku's story in Chain of Memories, where DiZ asks him if he will walk the twilight road to dusk, and Riku responds by saying that he will choose the path to the dawn, and light.