This section of the game completes the events once Link defeats Agahnim and enters the Dark World. At this point, Link has found himself trapped in the alternate world known as the Dark World, where the legendary Triforce is said to reside and grant the first person who finds it their hearts desire. He has also learned that Agahnim was really a puppet of the ruler of the Dark World, who was using the wizard to imprison the 7 princesses of Hyrule in order to open a gateway from the Dark World to the Light. To stop the evil schemes and save Hyrule, Link must rescue each princess and uncover the mystery behind the Dark World and its ruler.
Below is a map of the Dark World for your reference. Click to see full size.