Dry Creek is a ghost town in Arizona near Shadow Ranch.
In 1883, the outlaw Dirk Valentine met the sheriff's daughter, Frances Humber, at Cappy Munger's saloon as she played the piano. Dirk made everyone be quiet so he could hear her music. They fell in love and enjoyed a romance, but it was sadly short-lived. France's father, Meryl Humber, eventually caught and arrested Dirk, and the young man was hanged in town soon after. Before he died, Dirk hid a treasure for Frances to find and left clues throughout the town that would lead her to it, including a coded message on his jail cell wall and Frances's favorite snack, Sunflower Crackers. He also managed to tinker with the piano and a slot machine game Cappy had for his customers. The game still works more than a hundred years later when Nancy arrives to Arizona.
By 2004, the town is nothing more than a few crumbling buildings at the end of a desert path. Among the structures still standing is a bank, the jail where Dirk was held, the platform where Dirk was hanged, Cappy's saloon, a post office, and a little cemetery. When Nancy explores the little ghost town, she has an eerie feeling that she's not alone, and soon enough she discovers evidence that someone has been camping out in the saloon. She finds a sleeping bag and a strange powdery substance that glows in the dark. Eventually, she gets knocked out and thrown into the jail's remaining cell. Luckily for her, the attacker is a considerate one and left the key dangling from a hook on the wall. Using a couple bricks, her lariat, and an overturned chair, Nancy manages to free herself, finding a clue once she's out.
At the end of the game, it becomes clear that Shorty Thurmond had the bank robbers he was friends with hide out in the saloon in order to help him find Dirk's treasure. It was one of them who knocked out Nancy and locked her up in jail.