Sanity is madness put to good uses; waking life is a dream controlled.
Of course it's not there. It's a scavenger hunt, you have to search for it!I will give you another clue, though:HR DQT HNDINOOP EXTS FKIRGood luck!
Did you think to check WHO took it?
I'm not sure what to make of Lady's clue (does not seem to be a Caesar shift, and if it's an anagram I haven't made sense of it yet) but if you can't find out who took it perhaps they left the clue in one of the derivative works instead: http://en.wikipedia.org/wiki/Finnegans_Wake#Derivative_works
Lady's clue decodes to "IN THE QUESTION MARK ROOM". The map of Shady Lawn shows a room labeled with a question mark right next to the library.