There are challenges all over the place in every set. Each one has three levels. You hae to do Easy first, then Medium, then Hard. If you're looking to knock this one out of the way quickly, though:
then I would suggest starting with the Pirates Set.
The Pirates set has only 9 challenges. Some are collectible, some involve killing enemies, one involves using only bombs and one involves your cannon dinghy. (I won't lie, that thing's awesome.) There are no bike or driving missions, which worked better for me since you can't maneuver them as well as a character. There are also no races.
It's going to depend on your style of play, of course, but I just found Pirates the easiest. Of course, you can mix and match for this particular achievement.