The game is set in Abaron, a setting specially created for the module. The Sarakhan Empire is the most prominent force in this world, being led by a divine emperor named Rakha, who is willing to unify the whole world. However, the northern lands are not willing to enter the Empire, and fights back. A mysterious Crimson Prophet is believed to be the leader of the resistance. The story takes place in Ghaarak, an emperial city located near the northern territories' borderline.
The module itself is named after the organization featuring prominently in the game. The player is the son of Ocaris, one of the city's leaders, who is finishing his student time in the academy. The game starts out in a graduation ceremony of sorts where they get to pick one of three magic symbols to be their own. Each symbol has special actions and bonuses that go with it. After the graduation, the instructor tells the player that a man is looking for them. The man's name is Markius.
It is soon revealed that the character is meant to enter a secret organization, the Shadowguard, who protects the Empire from various threats. The story leads the player into a series of tasks given by Markius, the leader of Shadowguards, and his fellow friends. The tasks involves the player taking down a slaver syndicate and few other criminal elements. However, the city of Ghaarak ends up slowly falling into chaos due to arrival of Crimson Prophet - a mage willing to destroy the Empire, who steals a powerful artifacts and kills the character's father, Ocaris.
Soon, a full-scale assault is began on the city, performed by northern people under the Crimson Prophet's instructions. The player has only one option: to escape the doomed city along with the members of Shadowguard. Battling their way to the docks, they encounters Crimson Prophet again, but is unable to defeat him, as he proves to be too powerful.
The module's story ends with the character escaping the city with the Shadowguard on board of a ship, Voyager. The story was meant to be continued, but no sequels were ever made.
Source: Wikipedia, "Neverwinter Nights: ShadowGuard (module)", available under the CC-BY-SA License.