I have played a lot of Tri and didn't really dive into the multiplayer other than just hunting with friends. Can someone explain what the "Challenge Quests" are and why they are not working? I am just curious and never used these features before.

Like the Streaking with Bulfangos? It's probably not working because you need to remove your armor. If that's not what you mean then ignore this and be more specific.

I will be more specific, I have already completed the "Streaking With Bullfangos" event quest.

Chamberlyne (the cat that lives in your hut in Moga Village) has a menu option for "DLC (download content)." When you have the DLC menu come up, there is an option for "Quests". In the next window, there are two quests that you can pick from "Event Quests" and "Challenge Quests". I can't seem to get Challenge Quests to come up with anything, a window then pops up and says "No Information Given". My question was what do Challenge Quests have to offer that would be different from Event Quests? I didn't dig around too much, but was wondering what that menu option had in Japan.

I might be mistaken, but if it's anything like Monster Hunter Freedom Unite on the PSP, then it'll be something along the lines of, "Fight these two really big monsters at the same time alone or with your friends" type of thing. They might give better rewards, but I'm not sure. I've never done any of them in the other game.

They're not working because there are no challenge quests out right now. Give it some time. The game is only a week old.