Challenges are smaller tasks that are designed to help new people starting in Egypt find their way around and meet people. They generally have no reward or a small reward (such as a new emote) other than showing you around Egypt or encouraging you to meet people and learn how to do things. Like everything in Egypt, you should only do things if they seem fun and should mix tasks for variety (maybe try doing some of the Initiations or work on camp at the same time).
Every challenge can be started at any school, by anyone, but you can pursue only one challenge at a time. (exception: Generations Challenge is only available at SBody and may be run in parallel with the others if you begin Generations after beginning another challenge)
Tasks can be done out of order. Your current status on the tasks is show in a window by Items and Skills ones.
This challenge involves a lot of long runs and is best done casually rather than all at once. It may be done alongside other challenges. Completing it gives you a new idle emote (emote->attitude->confident), so you stand with arms and legs slightly away from the body.