Purgatory can be unlocked by completing challenge #38 (Baptism by Fire.)
The main gimmick of the challenge is that you have to reach Isaac while playing as a blindfolded Bethany, starting out with the Urn of Souls, Schoolbag, Guppy's Paw, and the Maggy's Faith trinket.
This challenge is not generally too bad, but you must be sure to carefully destroy enemies with the Urn of Souls to make sure that you do not run out of charges. Try to conserve your soul hearts as much as possible, since some bosses have too much health to be killed with the maximum 20 charges the item gives you. If you mess up, you can use Guppy's Paw to sacrifice a heart container for a few charges, but make sure not to do this unless absolutely necessary.