The game begins with you at the psychiatrist. Something happened that made it necessary for you to see a psychiatrist. You answer a few questions, then you begin to remember what happened back then.
Cut to a car accident. You, Harry Mason, and your seven-year-old daughter Cheryl are in the car as it spins off the icy road and crashes. You pass out for a short moment. As you regain consciousness, your daughter is gone. You start looking for her in a town that starts to become increasingly gloomy and strange, and then suddenly everything freezes over and you are stuck in some sort of nightmare where weird creatures hunt you, and your daughter is nowhere to be found, and you don't seem to be in the same place as you were when your car crashed and...
Well, finding out what happened is the game.
Don't read the following unless you are willing to spoil the experience for yourself! I'M SERIOUS!!!!
Now guess what? SHSR - same thing! The character you play - Harry Mason - is what remains of the memory his daughter had from when he died. She was seven back then, now she's 25, and you - the player - are what she remembers of him.
Isn't that the strangest coincidence that I and the guys at Konami had essentially the same idea?