

Each game is meant to playable as a standalone thing, any direct storyline continuation from previous titles is covered in the game itself. Technically Ocarina of Time and Majora’s mask are a pair with MM as the sequel, but either can be played alone with no real loss of context. MM does build on gameplay of OoT though.
It’s not a spoiler to say that across the game series it’s generally a plot about some reincarnation of the three central figures of Link, Zelda, and Ganon. There’s often implied reincarnations of other characters too across multiple games, but that’s mostly just callback fluff for fans. There’s one game set first in the in universe timeline that sets up the impetus for the reincarnation cycle, and one game that splits the timeline into a few branches based off three different interpretations of the ending of that specific game.
The two main newest ones, Breath of the Wild and Tears of the Kingdom, are a two-fer as well, and are a new timeline or convergence of the split timelines depending on who you ask.
For a first time player, don’t worry about it. Whichever game you play will give you what you need to know. Any understanding of the “grand series plot” just adds some extra oomph to scenes in later released games than OoT and MM.















Last I checked you can import it when you first run it, or from an option menu somewhere, and it adds it to the options you have when starting a new save. I just followed instructions from the GitHub.
Apparently if you have a supported ROM (check here) you just drop it in the same folder as the exe to import it.