First of all, challenges are fun. The AI is pretty dumb most of the time, so challenges make for a more balanced game.
Second of all, run magic.exe, go to gauntlet, and click on challenge mode.
There are three different versions of this game because microprose was retarded and made a hard 2000 card array, so that we cannot have more than that. The three versions are to accomodate the fact that the community has coded more cards than 2000.
If you are automatically losing a challenge, it means one of two things.
1) Your deck does not fit the challenge criteria, which can be found here:
http://www.slightlymagic.net/wiki/Challenge_Mode So, for instance, in the Warlock challenge, if you are using nonsorceries, then you will be handed an automatic loss as you are describing.
2) Your deck is not type 1/vintage legal. You can find the restricted list here
http://www.wizards.com/Magic/TCG/Resour ... sfrvintage So if you are doing silly things like using five
Black Lotus, then you will be given an automatic loss.
Most individual challenges can be beaten in a few hours of play by the average player. The exceptions to this are definitely Land Ho and the 5:1 challenge; a few of the others may also take several evenings of play.
The easiest challenges are Vanguard, Chipping Away, That's Big, There Can Only Be One,
March of the Machines (the first one only; the second one is hard), Master Warlock, Instant Gratification, Easy as 123, and Life's a
Lich. Start with those ones first. There are some threads in the decks/strategy subforum where people talk about the decks and strategies they used to beat a particular challenge.