We do pray for the dead and we do believe in purgatory. The latter is a limited period, however. Prayer for family of the deceased (blood relatives, such as a child for parents or one sibling for another) is mandated for one year, but, according to custom, lasts only 11 months, because it is hoped that the departed family member is not so evil that they would require a full year of prayers.
The Jewish position on heaven would require a dissertation, the reason being there are several views. For the most part, Jews do believe there is an afterlife, but exactly what form it takes is less agreed upon. This is because the afterlife is not detailed in the Torah or the Hebrew Bible in general, but only hinted at. Therefore, we are meant to concentrate on the present life, and try to make it a good one for ourselves and others, rather than speculate too much on the World to Come.