Have you tried to go up to the ship and board it by pressing "X"? The
You need to have the quest "Fandango" to get to the Krokosphinx for the first time. That's given by Sergeant Major Talbot at the Oasis. If you don't have that quest, go see Professor Winthrop at the Altar of Kings (just inside the Pyramid), who will give you the quest "Permission to Enter," or who may have something else for you to do.
Otherwise, check your quest list to see what you have listed for Krokotopia.