You need to get all three of them to the exit at the end of each level in order to proceed, but since each sheep weighs differently, you'll need to make them all work together. Use the or keys to move, and the, , and keys to switch between sheep. And adventure, I guess, but they do have that weird fixation with underpants and socks. But where Shaun's concerned, the trouble's a little bit bigger, and in Aardman's physics puzzle platformer Home Sheep Home 2: Lost Underground, the flock winds up sub terra after they take a tumble in their eternal quest for laundry. Sheep are only slightly smarter than your average reality TV show star.
Normally that wouldn't be a problem, since typical sheep 'trouble' usually consists of being extra smelly one day, or getting stuck inside a fence upside-down and backwards. Shaun and his friends just can't keep out of trouble.
