In any civilized society, there is natural progression of human life from dharma, artha, kama, and moksha.
This mean human life begins with dharma or religion. From religion comes artha, or wealth. From wealth comes kama, or enjoyment, and when one gets fed up with material enjoyment he or she may seek moksha, or liberation.
Liberation means to get out of the cycle of birth and death and return to one’s eternal existence.
So to answer your question - for liberation one must go to God.
Lord Shiva says:
mukti-pradata sarvesam visnur eva na samsayah
“There is no doubt that only Vishnu can give liberation.”
Work done as a sacrifice for Vishnu has to be performed; otherwise work causes bondage in this material world. Therefore, O son of Kunti, perform your prescribed duties for His satisfaction, and in that way you will always remain free from bondage. —Bg 3.9
Srila Prabhupada explains:
Since one has to work even for the simple maintenance of the body, the prescribed duties for a particular social position and quality are so made that that purpose can be fulfilled. Yajna means Lord Vishnu or sacrificial performances. All sacrificial performances also are meant for the satisfaction of Lord Vishnu.
The Vedas enjoin: yajno vai visnuh. In other words, the same purpose is served whether one performs prescribed yajnas or directly serves Lord Vishnu. Krishna consciousness is therefore performance of yajna as it is prescribed in this verse. The varnasrama institution also aims at satisfying Lord Vihsnu.
Therefore one has to work for the satisfaction of Vishnu. Any other work done in this material world will be a cause of bondage, for both good and evil work have their reactions, and any reaction binds the performer.
Therefore, one has to work in Krishna consciousness to satisfy Krishna (or Vishnu); and while performing such activities one is in a liberated stage. This is the great art of doing work, and in the beginning this process requires very expert guidance.
One should therefore act very diligently, under the expert guidance of a devotee of Lord Krishna, or under the direct instruction of Lord Krishna Himself (under whom Arjuna had the opportunity to work). Nothing should be performed for sense gratification, but everything should be done for the satisfaction of Krishna.
This practice will not only save one from the reaction of work, but also gradually elevate one to transcendental loving service of the Lord, which alone can raise one to the kingdom of God.