The story is pretty simple - Hikari ("Light"), the red haired girl that you see in an opening clip, has been kidnapped. And Rance gets the mission from his boss (the bald guy) to investigate the case.
Rance is something like a detective in this story. This also turns the whole game more into a detective-like exploring than into rpg or more less rpg/strategy to which the gamers of the latter games of the series are used to. Rance isn’t alone in his job as he has a helper - 16 year old Sill. She's actually Rance's slave. She was from a rich family but later got kidnapped by some bandit and then auctioned as a slave. The one who bought her was of course Rance.
Now with her help you (Rance) have to solve this mystery, bring Hikari back and pay back to the ones at fault.