The game sets in a mysterious world predominately inhabited by shadows. It begins in the 1920s, in the bedroom of Didi Malenkaya, a young girl with an imaginary friend named Dawn. They are assumed to be the only individuals that appear in 3D form, however Dawn has the amazing ability to phase from shadow to 3D in an instant.
Didi's mother, Kat Malenkaya, enters the room and tells her not to sneak out of the house while she is gone, again. Child services had already threatened to take Didi once, due to Kat's inability to properly watch over her daughter and due to the assumption that Didi maybe be 'mentally disturbed'. Child services notes that because of Kat's absence during the night it has taken a toll on Didi, causing her to act out (sneak out) and talk to 'imaginary people' (Dawn). Kat is given only two options; to find a more stable job or, preferably, return to her husband. Kat works as a singing act at a cabaret venue called the 'Ghost Note', in hopes of catching her big break. She begs Didi to promise not to sneak out, so that she will not get into trouble again. Didi promises but before she heads out, Didi asks if her father will return home. Kat answers that she does not know and leaves.