Firstly, the challenges are accessed from the main menu, under "Challenges." The easiest 3-star challenge is "Parkour This". It is quite easy to do, but you can view the link video for more information.
*Please also view the the "King of the World!" trophy solution for further information on the other challenges:
https://www.trueachievements.com/a150765/king-of-the-wo....htm