On the journey to Kaṭaka (Cuttak), Lord Caitanya visited a place known as Bālihastā, or Bālakāṭīcaṭi. He then visited the city of Bhuvaneśvara, where Lord Śiva’s temple is located. The temple of Bhuvaneśvara is situated about five to six miles from Bālakāṭīcaṭi. The temple of Lord Śiva is mentioned in the Skanda Purāṇa in the narration about the Lord’s garden and the one mango tree. A king named Kāśirāja wanted to fight with Lord Kṛṣṇa, and consequently he took shelter of Lord Śiva to acquire the power to fight the Lord. Being pleased with his worship, Lord Śiva helped him fight Kṛṣṇa. Lord Śiva’s name is Āśutoṣa, which indicates that he is very easily satisfied when one worships him, regardless of the purpose, and he gives his devotee whatever benediction the devotee wants. Therefore, people are generally very fond of worshiping Lord Śiva. Thus Kāśirāja was helped by Lord Śiva, but in the fight with Lord Kṛṣṇa he was not only defeated but killed. In this way the weapon known as Pāśupata-astra was baffled, and Kṛṣṇa set fire to the city of Kāśī. Later Lord Śiva became conscious of his mistake in helping Kāśirāja, and he begged Lord Kṛṣṇa’s forgiveness. As a benediction from Lord Kṛṣṇa, he received a place known as Ekāmra-kānana. Later, the kings of the Keśarī dynasty established their capital there, and for many hundreds of years they reigned over the state of Orissa.
When Lord Śrī Caitanya Mahāprabhu arrived at Śrī Bhuvaneśvara, He visited the temple of Lord Śiva known as Gupta-kāśī (the concealed Vārāṇasī). Lord Śiva established this as a place of pilgrimage by bringing water from all holy places and creating the lake known as Bindu-sarovara. Śrī Caitanya Mahāprabhu took His bath in this lake, feeling a great regard for Lord Śiva. From the spiritual point of view, people still go to take a bath in this lake. Actually, by taking a bath there, one becomes very healthy even from the material viewpoint. Taking a bath and drinking the water of this lake can cure any disease of the stomach. Regular bathing certainly cures indigestion. The river Bhārgī or Bhārgīnadī is now known as Daṇḍa-bhāṅgā-nadī. It is situated six miles north of Jagannātha Purī.
Ref >> Srila Prabhupada Vani.