If you've played the previous games, you know that what Rosa and Joey do is track down ghosts -- the spirits of people who have died but don't realize it -- and help them move on to the afterlife.
Do I need to play the games in order?
The way to do this is to help them remember their own deaths, which they have blocked or are in denial about. It's often a gentle process, but not always.
In this case, you have to first find the ghost --
How do I get into the locked door?
-- and then find a way to bring him to awareness.
How do I save Ryan?