Navigating through a Challenge Maze is much like some parts of navigating through a maze in real life.   In a Challenge Maze Game a player is limited to moving only in one of the 4 cardinal directions (North, South, East, or West).   The cardinal direction a player is facing only changes if a player goes in any direction other than forward.   This is kind of like real life where a person always keeps heading in the same direction if they keep walking forward.
In a Challenge Maze Game a player is always facing north when they begin a maze.   This is only true for starting a new game.   For loading a saved game, the player will be facing in the direction they were were facing when the game was saved.
In a Challenge Maze Game the up, left, right, and down arrow keys are used to Move though the maze.   Up will make a player try to Move forward toward a room in front of them.   Left will make a player try to walk left toward a room that is to the left of them.   Right will make a player try to walk right toward a room that is to the right of them.   Down will make a player try to walk toward a room that is behind them.   If a player succeeds in moving in any direction other than forward, the cardinal direction they are facing will then change.
Be aware that it is possible to Move through rooms that have not been shown on screen yet.   If, for example, a player presses up 3 times and the next two room have open passages ahead, the player will Move through both of those rooms before having a chance to stop or change directions.   This is kind of like 'not looking before you leap'.   This can lead to bumping into stuff which is covered in the next section.  
If a player makes an attempt to walk toward a room in a direction where there is only a locked passage, or a room wall, that player will see something like what is in the image below.
To continue to be able to attempt moving to other rooms a player must first select the 'Continue' button.   They will then be free to keep attempting to Move to other rooms.