There are many ways:
1. Leave it out over night
2. You can bake it at a low temperature, but likewise it will fall apart. Play dough was not intended to be a permanent model. Modeling clay or bread dough would have been better for your model.
3. Play Doh (or homemade play doh-type clays) won't "fall apart" itself, but parts you've joined together can come apart if they weren't well adhered in the beginning.
If parts to fall off after drying, you can try gluing them back together with a strong glue* or you can poke or drill a tiny hole in each side, put a length of toothpick or twisted wire in one hole then press the piece in place with the other end going into the other hole, along with a less-strong glue.
*gorilla glue (just a bit because it swells so can show), 2 part epoxy glue, a strong white glue, E-6000, etc.
If you haven't begun to dry it yet, you can just make sure there's *lots* of firm contact between any parts, and/or you can put a short length of toothpick/etc. between any joined parts now while the clay is still soft
Depending on the type of "play dough" or air-dry clay you're using, you can speed up the drying by putting it in front of a fan, and avoiding cool or humid places. You can also put it in a low-heat oven, but some parts of it may crack if the temperature change is too abrupt.
After the clay or dough has dried, you can coat it with a polyurethane or just with regular permanent white glue (a cheapie like Elmer's Glue All is fine) thinned 3 or 4 to one with water... let dry thoroughly... then add at least one more coat. Those clear finishes should help hold the parts together if they're not stressed too much. (Paint should do the same thing.)
Good luck, hope this helps!