I once had a book called Arena. Unfortunately that is a very common book title. Its cover was very similar to:
but that's a coincidence.
In the story, the main character (female), is invited to take part in an experiment. In the experiment she is transported to another world. (I'm pretty sure it was virtual reality.) The world has 3 sections:
The first section everything is fairly simple. You just have to stay on the path, and walk to the end, and insert the key into a door. But no one ever does. (The get off the path, and turn their keys into weapons etc). There is a town at the base of the wall (I think it is infinitely high, people try to climb it). Along the way there are safe houses that can be accessed with the keys.
The second area is (I think) a staging ground.
There is a library and a team gathers to try and, I think cross the wasteland, and then get into a city (it was full of goblin equivalents).
The third area is the city and the wasteland. At the end, the main character makes it out, (There must be a gate at the center of the city).
One of her friends (male), was shot on the way, but she meets him back in real life but he has no memory. (Only people who legitimately escaped keep there memory). It was theorised the guys conducting the experiment must have been aliens because their technology was so advanced.
The book has at least one sequel. (I managed to hunt the book down once before when I when back to the library I first found it.) It was published during or before 2005.
On of my friends has had the exact same problem, trying to find it. (I mentioned this book I read, called "Arena", and he was like "I read a great book called Arena once, but I can't remember the author name, and there are so many others.". Eventually we worked out it was the same book.
Any help finding the author name would be appreciated.