That name isn't suiting you too well, then. Anyway, a challenge is just a little thing that people come up with to make the game a little harder. They each have a different set of rules and such that tell what the challenge is about and what you can and can't do. Most of the challenges (which aren't hard to do, if you ask me) are monotypes, meaning that you beat the game using a team of one type of Pokemon, like Grass, Steel, etc.
The HM Challenge is the one I made. It's in the General Pokemon Gaming section if you'd like to give it a shot, and if you have any questions about the rules, you can ask me.
Make any sense?