The basic premise of the show as well as the game is that Shaun is a very special sheep. He can talk and communicate just like we humans; but the other sheep are just well, sheep. There's a dog named Bitzer who both helps and hinders Shaun, depending upon the situation. And, like all sentient sheep, Shaun must keep the Farmer from ever discovering his secret.
Of course, the hapless Farmer heads off leaving the pasture gate open and what do the sheep do? They wander off. Shaun heads out to find the sheep before bad things happen to them (because bad things always happen to wandering sheep).