Well, throughout the entire game you (Harry) are looking for Cheryl, your daughter (as in SH1). The 'problem' is that Silent Hill again has various forms, but instead of a decayed and a nightmare version of the town in the previous games, SM has a 'normal town' version (including not so normal people, but there's still a lot of character interaction, which changes depending on how you play the game), and a frozen version.
In the normal version you simply cannot die. There's cheap scares everywhere, but you have to find them, and they're being announced by static anyway. After a while, if you enter a room where there's static, you just run around looking to trigger the stupid 'scare', then continue with your business.
The nightmare sequences... at first they are pretty intense, but since there's only 1 real type of enemy (ok, their looks change depending on your actions, but you'll hardly notice it anyway), but all they do is just grab onto you. All you have to do is a simple command to shake them off, then you can run again. If you 'die' (collapsing after the enemies have grabbed you too much), then you just go back to the last checkpoint you were at (and there's quite a lot in these sequences).
The ending is really good, just look it up on youtube (though again, there are different versions depending on your actions).