The description given in order to complete this trophy is to finish one challenge.
I have finished two - Illumination and the egg one, however the trophy has not popped up. Is this a glitch?
I'm playing on the PS3.
This achievement was awarded to me on completion of the Illumination challenge, which was the first I completed. I completed the other challenges later for the 'Inconcievable!' achievement.
One caveat: I played on an Xbox 360.
However, other sites do outline how to get this trophy, with video walkthroughs from PS3 users. (Eg: http://www.tombraidergirl.com/tr9/trophies.php)
Your experience sounds like a glitch.
You could try completing the 'Ghost Hunter' challenge in the coastal forest, as it is technically the first challenge available.