The myth of the 'wild west' is full of hero figures, usually referred to as 'lone rangers'. All alone they fight all kind of evil (bankrobbers and of course Indians), always with a hand on their gun. That's the true American dream: riding through the prairies, spreading 'true justice'.
The title hero of this game is one of these persons. Kane (at least I guess that's his name) is the sheriff of a small city near the frontier. And you're taking over his part on a completely normal day.