The Labyrinth of Chaos opens up right after you first beat the game on normal difficulty. To access it, go to the town stables and now on the world map you'll see The Labyrinth as a choice. It is a series of 9 floors, each harder than the last. You can only reach floors 1-3 on normal difficulty, 1-6 on hard difficulty, and all 9 on infernal difficulty. 

The floors have 3 levels each. So, floor 1 is broken down into floor 1-1, 1-2, and 1-3. After each level, you can decide to go back to town or continue. If you leave in the middle of a floor, you will have to redo the whole floor again when you come back. So if you return to town after you complete floor 1-2, you'll have to do those first 2 levels again. If you want to leave to town, wait until you finish the whole floor. So, after 1-3, you'll get to floor 2. You can now leave to town, and you don't have to do floor 1 again if you don't want.

Each level has a random boss on it, and each level is randomly generated. The later floors have mini bosses as well. So, on floor 8 you may find the Harpie as a regular enemy. She'll give you a treasure when you kill her, but she isn't the final boss of that level. You may even run into 2 or 3 mini bosses in one level. 

The Demon Lord waits at floor 9. It is only one level (9-1). It's recommended that you leave to town after you finish floor 8. Repair your equipment, and go to Canaan Temple to get Heaven's Protection prayer, for 3 extra life points. Now you are ready to face him. He is level 100 difficulty, so don't go in at anything lower than 95, unless you have co-op partners. The Demon Lord uses a lot of different magic, including: Meteors, Tornados, Poison, Gravity, Petrify, and a life stealing circle that heals him if you stand in it. Along with this, he summons skeletons and demons to help him. He also hits you with his large horns if you stay close to him for a long time.