Sheik was fighting alongside Link, Impa and Lana when he suddenly gets knocked out. When he wakes up, he realizes that he is in a room that he doesn't know, and when he looks around, he sees you sitting on a bench in the center of the room. He can also feel that the temperatute is decreasing. He gets up, walks over to the door and tries to open it, but it's locked from outside and there's nothing else in the room besides the bench. So he sighs and decides to sit on the bench too, next to you.