Learn Portuguese (Portugal): Nós comemos na sala de jantar.

Na is a mandatory combination (contraction) of the preposition em (in/on/at) and the feminine word for "the", which is a. Because sala (room) is a feminine noun, we use na to mean "in the".

Why doesn't the preposition de combine with the word after it here?

In your current lesson, you are learning to contract de with demonstratives (like este becoming deste). However, jantar is a verb meaning "to dine". We do not contract prepositions with verbs, so de stands alone here.

How exactly does sala de jantar mean "dining room"?

English often puts two words next to each other to make a new concept (dining + room). Portuguese usually connects them with de (of). Since sala is "room" and jantar is "to dine" or "dinner", sala de jantar literally means "room of dining".

Do I always have to say nós (we) before comemos?