Mistake number one: making a video game based on a movie about a woman repeatedly raped by a ghost in a time networks could barely say the word "rape" on TV without the FCC crashing into their offices like Kool-Aid Man. Mistake number two: removing any connection to the movie except for the use of liquid helium but retaining the name. The only thing that was done right with this game was keeping out of the hands of the public for twenty years.
The goal of The Entity is to move The Entity to the highest plane of existence, which apparently is its reward for raping and torturing a woman. This is done by positioning walls so that The Entity has nowhere to go but up through the opening to the next level. For whatever reason, possibly the lack of hotties in the astral plane, The Entity does not want this to happen and will fight you by continually ramming into the walls making it difficult to position them. This is where the liquid helium comes in. Blasting him with it slows him down enough to get him to the next level.
The Entity provides unique, but ultimately boring and repetitive gameplay, which, more than the ties to a very "adult" movie, may have led to the game's shelving.