Jews believe in life after death. We call it the World to Come. Gehinom - a purification process - is part of the World to Come. When a person dies, his soul gets a chance to "think objectively" about his lifetime spent on earth. Depending on how the person spent his life, this can be a painful process in which the soul mourns its bad deeds, lost opportunities and wasted potential.
Ultimately, the gehinom process is temporary, and eventually enables the person to enjoy the benefits of all the good things he did during his lifetime.
Nevertheless, Judaism emphasizes life in this world. Here's a parable to explain: A wealthy man goes on a cruise ship. The ship sinks, and he finds himself afloat in a tiny rubber raft. This raft is his only hope of arriving safely to his family, his mansion and all his wealth. Judaism looks at this world like a raft. By following the survival manual - the Torah - this little raft can bring us safely to the World to Come.