When the crusaders captured Jerusalem during the First Crusade, the Jews of Jerusalem fled into a synagogue. The crusaders then set flame to the synagogue, burning alive all the Jewish men, women, and children who had taken refuge there. All Jews were barred from living in the city of Jerusalem for the following 88 years.
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During the Three Weeks, from 17th of Tamuz to the 9th of Av, we commemorate the conquest of Jerusalem, the destruction of the Holy Temple and the dispersion of the Jewish people.
Weddings and other joyful events are not held during this period; like mourners, we do not cut our hair, and various pleasurable activities are limited or proscribed. (The particular mourning customs vary from community to community, so consult a competent halachic authority for details.)
Citing the verse (Isaiah 1:27) "Zion shall be redeemed with mishpat [Torah] and its returnees with tzedakah," the Rebbe urged that we increase in Torah study (particularly the study of the laws of the Holy Temple) and charity during this period.
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The Three Weeks
It is not so much that we need to be taken out of exile.
It is that we must take the exile out of ourselves.
What is exile? It is the belief that there is some place outside of G-d.
And that in that place, there are forces stronger than G-d.
And those forces will not allow you to do what your soul came here to do.
Fear no thing, no force, no being other than G-d. Do that which you must do as though nothing stands in your way.
Then you will have taken yourself out of exile. And G-d will complete the job.