First of all, grab this savegame and read the following instructions.
Now to describe the scenario in the above savegame. First of all, it's on superhuman. Next, you have no prefabricated base to start with. You also have absolutely no monetary assistance from the world governments - who have already signed pacts with the aliens. Although there's nothing left for the aliens to infiltrate - you will still lose the game in the usual manner if you do badly a few months in a row, or if your funds are in the negatives for a few months in a row. The only advantage of this is that infiltration attempts no longer have any impact, as there's nothing left to infiltrate. To compensate for this and for the building costs of your first base, your starting funds have been increased to $9 million.
So what's the challenge? Well, setting up the base and attaining self-sufficiency despite such harsh conditions and lack of monetary funds. That's pretty much it. It's not a grand challenge, but it's an amusing one.
X-Com, XCom, Enemy Unknown, UFO Defence, et. al, in fact the entire series is a veritable yoyo. Who knows who it belongs to anymore.