Should I continue with this domain or not, Please give me advise.


Before you make your reconsideration request, disavow the links and put a comment in that you purchased the domain (if possible, include a link to the auction, but in the comments part, of course) and then found out that it was banned. This step is in case it was banned due to bad links. It's often not enough to just request a re-inclusion, but if you show them the auction and they can see the change in registrant details in the whois, that will help show that it has changed ownership.
Some further information in a Q&A Danny Sullivan did with Matt Cutts.
Just make sure whatever site you put up complies with the guidelines (no keyword stuffing, for example and don't have any "placeholder" pages, just ones with content), so they don't decline it due to "site quality issues".
Good luck.
