It's strictly a Catholic thing if I recall.
This praying you see referenced here is derived from a verse in the Old Testament. You can probably find it with a google search.
I don't believe "Pergatory" is in the scriptures, at least not in the Protestant bible.
If it is true that purgatory is mentioned in the Catholic's Bible, is it also true that only the Catholic priests can interpret the scriptures for Catholics?
So, I guess, we have to just "trust" the Priests when they tell us about "purgatory." Hmmmmmmm.