we're going to continue our 1st game later tonight (only had about 30-40 min to play last night)...
we started with the scenario they suggested, but my wife had asked when we had to stop: "what exactly are we trying to do? or solve? how do we win, assuming we're still alive or not insane?"...and i wasn't sure...(smile)
The game will generally passively "guide" you with hints. One obvious hint is it might place an explore token and give it a detailed description, then place several others in one go "3 other doors lead into the mansion".
The app is directing you towards that specific explore token.
Don't get caught up fighting monsters, you don't win the game killing monsters. A lot of the time you can avoid them and progress the games. A I've seen a barrier hold a monster for several rounds, for example.