Luxor 2

As Bishamon11 said and well, Challenge of Horus is unlocked after beat the game adventure mode under expert difficult, instead the usual 88 levels this difficult only has 25 levels to complete it. Just like any other difficult you have to abuse the way it saves the adventure (it can save the level in the middle or between levels), so when things are going well just press Start and exit the game to the menu, it will automatically save it each time you do it, then just load it again and should start where you left it.
The common way to not let it auto save is when things go bad (you cannot let all the balls enter the holes, as it will auto save after that, so do it before that happen), just press the Xbox Guide button and then Xbox Home (Xbox Dashboard), this will prevent from it to save, then just reload the game. The other way I found and it is simpler and faster in my opinion, again just press the Xbox Guide button and instead going to Xbox Dashboard you only have to Sign Out, that will force the game go to the menu and not saving your adventure, just Sign In and continue from last save point, you will have to do this many times on this difficult, so be prepared, this achievement should be one of the hardest to get, requires patience! Good luck!

You unlock Challenge of Horus mode by completing the game adventure mode under expert difficulty. CoH has 5 levels and each level has 5 sub levels for a total of 25. Just like the regular game, abuse the early levels to rack up lives. This is just another grinding achievement.