As you work through these fights, pieces of armour will be granted to you, and you'll be glad you grabbed the lot. When you get there, you'll see apparitions of all the bosses you've beaten so far, along with a few leaderboard-like stats. When you're in the next zone, go down the path until you come to a new region. Once the Annihilator's dead, use the portal over on the opposite side of the fight area.