Well all so far have been good explanations of Purgatory. The only correction may be that while most Protestants do not accept I and II Maccabees, it has been accepted as part of the Canon of Sacred Scripture from the earliest days of the Church.
The issue at hand is the interpretation of Ephesians 2:8 and the other writings of St. Paul and the inspired writers of the NT. St. Paul makes it clear that our salvation is in Christ Jesus, but he also tells us that we need to run the good race, that our life in Christ is one in which we work out our salvation in fear and trembling. When we look at the Greek NT, St Paul does not preach what the Baptists preach that at the moment we accept Jesus as our Lord and Savior, we are irrevokably saved, (Once Saved, Always Saved.) Far from it in the greek, St. Paul does tell us that we are saved, tge greej tells us that salvation is a work in progress, Christ work on the cross is a work that He preforms on us as we enter and grow in our spiritual life. It is something that once we accept, we can later reject.
Baptists and other “Evangelicals” have rejected what the Early Church delivered to us from the Apostles, and created a system where a momentary and enthusiastic acceptance of Jesus forces Him to save us, a bond that He must adhere to because of one momentary act we take. Because it would seem many if not most who take that one needed step, fall back into a life of sin there are only two options, one being saying that they made their decision for Christ, so they will go to heaven no matter. The second error is to point at someone who falls back into a sinful life, and judge them as never having been “really saved”. A far cry from what Jesus taught the Apostles, or the Apostles handed on to the leaders of the Early Church who they ordained to rule the Church. (Yup that is Biblical).
As for the rest, Jon et al did a good job of showing the exsistance of Purgatory.