Once you have the completed flail, go back to Travincal and destroy the Compelling Orb. That will open up the entrance to the Durance of Hate.
Mephisto is chilling on the third level of the Durance, and you've got to finish him off. There is a waypoint on level 2. Activate it because you are probably going to die on the third level. The third level has council members, ghoul lords similar to the Arcane Sanctuary guys and a whole host of other nasties. Strategy here would be to lead out the little guys and kill them before taking on Mephisto because he is bad enough on his own. Kill him, then go back to town. Or clear the other areas.