The archives at UW Stout have the naturalization records from the court in Dunn county. I would suggest starting there. If you're not near Menomonie, you can complete their research request form.
Many Norwegians came through Canada and crossed the border via train into the U.S. It depends on the time period. At any rate, if he was naturalized in 1870, your chances of finding immigration documentation aren't good, and even if you do, it very likely won't contain anything useful. That's not to say that you shouldn't look for it, but I would suggest exhausting other avenues first. Death certificates, obituaries, and Norwegian church records are good places to start. Many of the latter are on microfilm at UW Stout or can be sent from SLC to your local FHC. Confirmation records, in particular, list the church of baptism, so if you have any young teenagers from Norway, that may be all the information you need to connect back into Norwegian records.
PS. Vigen looks an awful lot like Weigen/Wegan. This is probably the name of a farm in Norway on which your family once lived.