Challenges are friendly competitions between you and your Xbox LIVE friends. You get this by either starting or accepting a challenge on YourShapeCenter.com.
To start a challenge, click on CHALLENGES on the site. Here, you can create or accept a challenge. To make one, click on CREATE A NEW CHALLENGE, then add a description, define the target (calroies burned), and select a friend(s) to invite. Once this is complete, play the game, complete one exercise, and you'll get the achievement.
If you accepted or issued a challenge for the first Your Shape game, you will unlock this after completing your first exercise in this game.