Basically, if you want to play further, that's completely up to you. You can play to any level, just make sure to respect the "Winning Level" rule.
So if you're playing to level 25 or 30, you can keep going, however, you cannot go from 24 to 25 or 29 to 30 by
- purchasing a level
- helping another player kill a monster as an elf.
- Go up a Level cards
This does not apply to cards that specifically allow you to gain the winning level.
For example : (I forget the name, but I think it's Divine Intervention) The card that allows all clerics to go up a level, even the winning level.