Main character Vincent is first seen dining with the beautiful Catherine, and then, um, walking around some kind of labyrinth in his underwear, gradually turning into a sheep. He is told he has to endlessly climb the stairs of this nightmare world in order to avoid death. Famitsu indicates that the "action" in this action-adventure takes place in this nightmare world. We expect to see those sheep creatures in our own nightmares soon enough.
Update: Famitsu posted a trailer for the game, which you can see after the break. It's NSFW-ish! And, again, strange.