The five worlds are the planes of existence in the universe. Different types of beings live in each and travel between them is possible. The five worlds are as follows: the Human World (Earth), Heaven, Hell, Purgatory, and the Abyss.
The Human World
The human world is the natural abode of humans.
Heaven is the home of angels, and the destination of the souls of good people (and demons, occasionally) when they die. It is described as a rich and wondrous city bathed in light.
Hell is the home of the devils, and is described as full of fire, war, chaos, and hatred. The fallen angel Satan rules over Hell, waiting for the day he can take over the human world and heaven. Time moves faster here than it does in the human world.
Purgatory is the another afterlife like Heaven or Hell. This is where most demons go when they die. Most humans go here as well when they are not good enough to enter Heaven but not evil enough to enter Hell. Humans who are warlocks and witches or tied with demon(s) have a instant ticket to here. Purgatory is showed in Erik's route when Oribel and (depending on your choices) Diana when you kill Oribel who possessed the body of the Demon Lord. Michaela Laws talked about this on her Tumblr. Purgatory is NOT a place where Vampires live. In this universe it's an afterlife
The Abyssal Plains
The Abyssal Plains are the abode of all the species of demons. It looks just like the human world during the Middle Ages, full of warring kingdoms and magical creatures and plants. Time moves faster here, about 5 years to one human year. The Angels planned on making the Abyssal Plains a part of hell and for whatever reason changed their minds
The Rules of the Worlds
The rules of the worlds were established on the birth date of Jesus Christ, and are meant to prevent humans from knowing about the other four worlds.