At the beginning of the level you are given the chance to set up some traps and spend your starting money. You will want to adapt the traps, spells or weapons to which enemies will be coming at you. I personally love the alchemic flask that I can throw at people and to grow an army of guardians, but you can choose whatever suits your play style. Between waves you are given a few seconds to quickly summon some extra traps from the money earned through defeating the waves.
As for story, Orcs Must Die sort of has one. After completing a certain number of levels you get a cut-scene that explains what is happening. However, mostly it builds up to the second game Orcs Must Die 2. A game that, so I hear, has more of story than it's predecessor. But essentially you play as a Battle Mage who's master has died and you fight some orcs. Not exactly War and Peace but it suffices for a premise of a brilliant action towner defence game.
I would say pick this game up and don't be deterred from the numerous waves of tower defence games around (oh yes wave pun). It bring something fresh to the genre and it's odd humour is at times brilliant.