Let's first start off with how we got to where we are at the beginning of the game: Humanity is constantly fighting a losing battle against demons. Most of them had been wiped out and their only hope is for a group of ninjas who train everyday to fight off these monsters.
And then of cource there's the story behind the Music Box quest for the later half of the game: basically, the Demon King cursed some poor man to be trapped inside it, and play that same tune FOREVER. The worst part of this, is it takes SEVERAL Messengers working together to even FIGURE OUT what the music box is for, and what to do about it - that doesn't include all the time travel puzzles the Ninja has to pull off to get the Notes.