Thanks for the good question.
The best way to think of Purgatory is as the "Holy Hospital of Heaven".
Because all souls in Purgatory are saved souls and are just being purified toward Heaven.
Let me give you some examples.
As a child, your father and mother probably wanted to keep you safe from any major diseases that could effect you in the future. For this reason, they may have brought you to the doctors office for several doctor shots in the arm to protect you from these diseases in the future.
I can only speak for myself, but when I received these shots, they hurt and were very painful but despite the pain and hurt of the doctor's shot, I was made a healthier, more immune person. These future diseases had less of a chance of hurting me now, then before I had the shot.
Here's another better example.
Let's say your playing on the playground and you fall, scraping your knees and legs, which are now bleeding. Once you are taken to the hospital or doctor's office, in order to purify the wound from dirt and other materials, the doctor will have to use a alcohol based disinfectant on the wounds.
Believe me, this IS very painful, yet necessary if you are to be made whole again.
In both cases, you were less healthy before the painful event and more health and whole after
The same is true with Purgatory. Purgatory is not a third place with Heaven and Hell, but a part of Heaven. Those in Purgatory are destine for Heaven and, like those in Heaven, have been saved by the blood of the Lamb, Jesus.
If we die in friendship with the Lord (in a state of grace), but still have remaining self-love,
in order for our souls to be totality pure, like Heaven, our soul must burn off any remaining self-love we have.
Saints and mystics of the Church have told us that while suffering the pains of Purgatory, they have also experienced a great joy because they knew their total purification was leading them to total unity with the Lord.
Heaven is pure holiness and the Bible tells us:
"Nothing impure shall enter the Heavens." Revelation 21:27
I'm so scared to go there, even though I will be going there with all the sins I have.
Having a daily prayer life and receiving the sacraments of the Eucharist and Confession regularly are powerful forces for living a good Christian life and will help to shorten any needed purification if you die in a state of grace.
I hope this answers your question.