Choose one of the classic types of conflict with which to construct your challenge. The types of conflict are: people versus each other, people versus society, people versus nature and people versus themselves. Each presents a different form of challenge. A story about a man trapped in a storm cellar after a tornado is a much different challenge than a story about an ex-convict tempted to not do the right thing.
Create and build suspense by creating uncertainty. Think of the term "cliffhanger" and the image it calls to mind. Serial television shows often depend on suspense to keep viewers tuning in. An effective plot is much the same. Leave the reader "hanging," so to speak, at the end of each section or chapter.
Develop the challenge. According to "The College Handbook of Creative Writing," the term "development" means, "the events that grow out of a conflict before it is resolved." Heighten the reader's curiosity by creating a series of events that reveal the real nature of the situation and lead to a suitable conclusion.