The film is set in 1890s London. Sarah lived happily in India with her father, but when he was drafted into military service he placed Sarah in a boarding school in London. Sarah was lonely, but she made some good friends at school. Suddenly her father was announced dead in a mine accident and Sarah became an orphan. Now she goes on a long and dangerous journey to find her father, who loved her and called her a "little princess".
Director David Lynch gives us a psycho thriller beyond definition that has audiences tangled in the provocations of nightmares, violence, sex sequences, reality, the subconscious, and madness as they must create their own interpretations of the film.
In honor of his birthday, San Francisco banker Nicholas Van Orton, a financial genius and a coldhearted loner, receives an unusual present from his younger brother, Conrad -- a gift certificate to play a unique kind of game.