http://en.wikipedia.org/wiki/History_of_Purgatory Actually, the concept of Purgatory dates back even before Christ. Praying for the dead and their afterlife purification is found in history of Jews.
"The descriptions and doctrine regarding purgatory developed over the centuries.[2] Advocates of belief in purgatory interpret Bible passages such as 2 Maccabees 12:41-46 (not accepted as Scripture by Protestants but recognized by Orthodox and Catholics), 2 Timothy 1:18, Matthew 12:32, Luke 16:19-26 and 23:43, 1 Corinthians 3:11-15 and Hebrews 12:29 as support for prayer for the dead, an active interim state for the dead prior to the resurrection, and purifying flames after death.[2] "
Medievalist Jacques Le Goff defines the "birth of purgatory", i.e. the conception of purgatory as a physical place, rather than merely as a state, as occurring between 1170 and 1200.[38] Le Goff acknowledged that the notion of purification after death, without the medieval notion of a physical place, existed in antiquity, arguing specifically that Clement of Alexandria, and his pupil Origen of Alexandria, derived their view from a combination of biblical teachings, though he considered vague concepts of purifying and punishing fire to predate Christianity.[39] Le Goff also considered Peter the Lombard (d. 1160), in expounding on the teachings of St. Augustine and Gregory the "Great, to have contributed significantly to the birth of purgatory in the sense of a physical place.
While the idea of purgatory as a process of cleansing thus dated back to early Christianity, the 12th century was the heyday of medieval otherworld-journey narratives such as the Irish Visio Tnugdali, and of pilgrims' tales about St. Patrick's Purgatory, a cavelike entrance to purgatory on a remote island in Ireland.[40] The legend of St Patrick's Purgatory (Tractatus de Purgatorio Sancti Patricii) written in that century by Hugh of Saltry, also known as Henry of Sawtry, was "part of a huge, repetitive contemporary genre of literature of which the most familiar today is Dante's";[41] another is the Visio Tnugdali. Other legends localized the entrance to Purgatory in places such as a cave on the volcanic Mount Etna in Sicily.[42] Thus the idea of purgatory as a physical place became widespread on a popular level, and was defended also by some theologians.