Purgatory is the state by which our souls are purified of the effects of sin.
Only the saved go to Purgatory, and only if they are in need of purification. It is a temporary state, everyone in purgatory will be in Heaven eventually.
We do not know the specific mechanics of it, but Jesus uses the example of the purification of Gold, as through fire, so we can draw some conclusions from that. Private revelation reveals it as a place of painful purging, but also as a place of extreme joy. After all, everyone in purgatory is saved, they made it, no more running the race. Itās only a matter of ātimeā before they experience the joy of Heaven forever.