Your objectives is something you are aimed at or sought;they are a goal. During each episode, you are given a starting objective, once completing it, you are recieved a continuation of that objective, thus creating a story (episode). You can check what your current objectives are by clicking on the target symbol on the bar, or entering into your apartment and clicking on the red book on your desk. Completing all of the objectives in that episode will result in moving forward to the next episode.