Sacred Haven of Debauchery

I finally defeated that silly girl, after which Mephistopheles killed me and sent me to hell... or rather, to one of the hells (somehow, it's an icy one), where he used to be the master, or rather, he swapped our places. He bound me to the hell, and he escaped using a strange relic that I found in the desert (in the first expansion of the game, and here is the continuation), when I ended up in the dimension of shadows...
And now I need to get out of this hell. That's the situation.