Indonesia challenge - load the Indonesian league and take over Indonesia. Once done apply for a job for a club at the lowest division, so you are managing club and country. The challenge is to break into top 100 ranking with Indonesia and get to the top league for the club. To make it harder aim to win the world cup and Asian Champions League once you get there.
Bilbao challenge - speaks for itself.
Start off unemployed and work your up.
Ferguson challenge - start at a mid table club and aim to replicate what he did at Aberdeen. One you have completed that you should move to a club with higher rep, and try to match or beat his record.
Uk challenge - start at a club in England, aiming to only sign UK based players. You have 5 years to completely change your squad to UK based and Premier LEague, to make it harder aim to win Champions League in that time.
Hope this helps!