Where did the  purgatory come from ? 

The Catechism of the Catholic Church defines purgatory as a "purification”. When we die, we undergo what is called the particular, or individual, judgment. Augustine said, in The City of God, that "temporary punishments are suffered by some in this life only, by others after death, by others both now and then; but all of them before that last and strictest judgment". Purgatory is a reminder to us that we are not free to do any evil we like in this life and then just repent when we die and go straight to heaven.

 

   Source: http://www.catholic.com/tracts/purgatory