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I remember watching a live-action TV show around the late 90's or early 00's. It centered around four main characters: a boy, a girl, a blue guy who might have been furry and a robot (I think). They would travel through different dimensions (I specifically remember the word dimensions being used). I think the premise was that the boy was looking for his dad(?).
I think I watched this show on the family channel so it may have aired on Disney in the US. I also distinctly remember there being a line of McDonald's toys based on the show where you could mix and match the parts from the different characters (possibly an ability that the boy had).