You play as Bigby Wolf, the former "Big Bad Wolf" of the stories, and the current sheriff trying to keep the Fable's existence on the down low. Faith was about meeting a Fable not widely known, and when her head shows up on the main high rises' doorstep, Bigby starts his investigation.
Before the episode is up, Bigby will have to make a few key decisions, and like Telltale's The Walking Dead series, those decisions will be remembered and they will have consequences. Before jumping into Episode 2 - Smoke & Mirrors, Bigby has to decide between different investigation routes and eventually chase down one of two possible suspects going in different directions - whichever one you choose is who you are going to question soon after Smoke & Mirrors starts up. That being said, the final scene of Episode 1 is a shocker, and the immediate aftermath of that is Bigby's first task in Episode 2.