General Game Advice:
The goal of the game is to complete the "Hero Path" - to find the happy ending. To achieve that you need to play the story at least 5 times.
At the end of the story you see a picture of a lock with 4 parts. Then you can use the key. Find the 4 parts of the lock, then follow the key diagram to get the key.
Be aware that the end fight (the fight before you get to the ending) can be tough. So you could level up by playing more stories before you tackle that.
Reward for ending the story: Iblis Stone and Skyripper. - The Iblis stone will heal you and the Skyripper will shoot at enemies... so, quite useful.