Story
With the exception of the "sound" I have interjected, below is the story for Majora's Mask, found in the instruction booklet that comes with the game. It is also shown when you first create your file in the game (and where this sound is heard).
In the land of Hyrule, there
echoes a legend. A legend held
dearly by the Royal Family that
tells of a boy...

A boy who,
after battling evil and saving
Hyrule, crept away from the land
that had made him a legend...

Done with the battles he once
waged across time, he embarked
on a journey. A secret and
personal journey...

A journey in search of a
beloved and invaluable friend...

A friend with whom he parted
ways when he finally fulfilled his
heroic destiny and took his place
among legends...
 
*Fairy sound*

 - If you have played Ocarina of Time (the prequel to this game) it's safe to assume that this "invaluable friend" must be Navi (your fairy companion in that game). It's also possible that it is Saria (your best friend growing up).