This is the scene I'm referring to. Right after Morpheus calls Neo and Neo gets captured while trying to escape the Agents at his office building, we see Neo in an interrogation room with Agent Smith. He (somehow) makes Neo's mouth close, and releases a rather disgusting robotic insect that crawls into Neo's belly button. Neo then wakes up, as if from a dream, in his bed at home.
We assume that Neo getting kidnapped is "real" (that is, taking place within Neo's Matrix reality, and not occurring within a dream of his) because we see Trinity outside of the office building as Neo is getting shoved into a car by the Agents. She's clearly worried that he's getting kidnapped, but the only person that notices her is Agent Smith (and not Neo).
If this was a dream (and then the next scene in the dream is the interrogation and Neo waking up), then why the scene with Trinity? Was Neo really dreaming in such detail that Trinity sighed with exasperation from afar as he was being taken away?
But if this wasn't a dream, then what is Neo waking up from? Or did the interrogation even happen? So confused!