You will receive the Stonehenge under the Buildings category and after placing it in your Kingdom, you will start building it. For each construction stage built, you will unlock the special powers of the Stonehenge, which will give you double XP gains for the indicated amount of time.
Notice there is a current limit of XP that can be gained, this will increase along with the timer with each new construction stage. If you earn the total limit of XP for this stage within the time limit, you’ll receive a special prize along with your bonus XP! And don’t forget to actually click the Stonehenge after the time limit passes to get the XP you have gained.
So all in all, the Stonehenge in CastleVille is a really interesting building, even though the building requirements (especially for the last stage) are pretty high. And if you want to keep using it after finishing the quests, you will be allowed to, but you will have to gather the materials for the last stage every time. It’s worth the trouble for the double XP, though!