Dexter's laboratory was about a kid named Dexter who was introverted and socially awkward, thus he replied on his imagination to entertain himself, pretending to be a genius child scientist. His sister Dee Dee and their parents play along would frequently play along w/ Dexter's musings. His 'rival' Mandark is a fellow introverted child, probably Dexter's one true friend with similar social issues and their rivalry was nothing more than another facet of their imaginative role playing.
Other children that Dexter interacted with were mostly kids unfamiliar to him (forgein exchange students and the stalking precious moments of girls a couple years younger than Dexter) and in those episodes, the children played together using their imagination... or you will notice nothing 'fantastic' occurs when Dex interacts with them.
Therefore there really was no lab, just a figment of Dexter's mind. This also explains why Dexter has an accent while the rest of the family doesn't!