What about something along these lines?
Actually, Dijkstra's algorithm gives you the shortest paths between a given node and all the other nodes. It doesn't give you any path that visits all the nodes. What you are asking for is a solution of the traveling salesman problem, which is an infamous NP-complete problem. Nobody knows whether an efficient algorithm exists. If there are only 4 locations, you can just check all 6 orderings of locations 2, 3, and 4, but that's not going to work if you have many locations. (With 10 locations, there are already more than 360,000 orderings, and after that, each new location increases the number of orderings by at least a factor of 10.)
You should ask yourself why you need the absolute shortest path. If you can settle for one that's not quite optimal, there may be algorithms that find short paths without guaranteeing that they find the shortest one. If I remember correctly, this is true at least when the locations are points on a plane and the distance is just normal distance, but beyond that, I don't know.
In any case, this is a graph problem, so all relevant examples and code you're likely to encounter will use the language of graphs.