Hello there, I have made this guide for those who quickly want to know how to complete this "rare" achievement.
Challenge Road Achievement Guide
In order to access the challenge road you will need to be in your spaceship and go right where the slide is (next to the main chair/battle of the birds entrance) There will be a small ice pad there that may look like a carpet. What you have to do is use your ice hat on it and it will take you to a room with the mafia from "She came from outer space" (You can hook onto the ceiling with the hookshot badge for an extra achievement).
Interact with the mafia and once it is available, you will be able to play the challenge road that ranges in difficulty and variety.
A Few More Words
Challenge roads contain community maps ranging from 3-7 maps in a single challenge road and completing all of them grants you the achievement and some rift tokens or other rewards along the way.