For those who have physic background, take a look at the picture above, probably you would have understand what 'Dust' are even without watching the Golden Compass movie.

But for people like me who not very good in physic, I don't even understand what 'Dust' are they mention in Golden Compass, until I watch Angels and Demons recently.

Well, in the movie Angels and Demons, they keep mentioning of anti-matter, particle, begin of universe those kind of things. Suddenly it struck to me the other name for 'Dust' is particle. Now look again dialogue between Mrs. Coulter and Lyra:

Mrs. Coulter: Perhaps we shouldn't have invited Professor Docker. He's such a bore, isn't he?
Lyra: And he had sauce in his beard.
Mrs. Coulter: But he is one of the foremost experts on particle Metaphysics. Have I told you what a particle is?
Lyra: Oh I know about particles. Like dust. That's a particle isn't it?
Mrs. Coulter: Dust?
Lyra: I mean the dust from the space. That dust. Like in the north.
Mrs. Coulter: Where do you hear about that?
Lyra: It must be one of the scholars at Jordan.
Mrs. Coulter: A wise person knows, Lyra, there are some thing we best ignored. Subjects that you ... well ... never speak about.

So you can see, for someone like me who doesn't know physic, obviously that 'Dust' they mention in the Golden Compass is related to particle in physics, and it is related research of the origin of the universe. Read more from here: http://en.wikipedia.org/wiki/Higgs_boson.

My guess is, the 'Dust' is related to origin of the universe and the church is forbid greatly to prevent people even talk about it. Golden Compass is actually a physic hide inside a fairy tale, they even mention in the movie 'many worlds parallel with Lyra's world' ... that's parallel universe theory in physic as well.