Your main objective in Portal Knights is to build portals so you can reach the next level in the game. Each level or island will contain at least one protal with some of them having as many as three scattered around it for you to find.
When you find a portal you will need to craft six portal stones from the shards you occasionally get from killing enemies and mining resources. Once you have crafted the six portal stones the portal will become activated and you will be able to enter it to explore a new island. Not all of the portals you find will lead to a new island, there is the possibility that it may lead you to a boss which upon killing will allow you access to a new set of islands.