First of all, when dealing with issues like this, it's generally better to see a gynecologist. They just have better knowledge of reproductive hormones and such, and might have a better idea of what's wrong.
I didn't know what a progesterone challenge was, but I looked it up and it's just when you get provera to try to start your period. More specifically, it is a way to determine why you aren't getting your period- because you aren't ovulating, or because of an imbalance of estrogen levels or FSH levels. You will take a medication (Provera, usually) that puts you into progesterone withdrawal. If you finish the medication and get your period, it means you weren't ovulating. If you finish the medication and you still don't get your period, it means that your estrogen or FSH levels are off.