The goal of The Ultimate Celebration is to find all your friends so you can invite them to a party. There is no death in the game. There are obstacles, but they only temporarily hinder you.
The heart of the experience is exploring the miniature world that the game takes place in. The different locations can be explored in any order, but you will need to navigate them all to find every friend.
After you beat the game once, you can challenge yourself by playing again and seeing how quickly you can reach the end. The game was designed for speed-running.