Won (played by Im Si-wan) and Lin (played by Hong Jong-hyun) are brothers. Won is small, impulsive, and reckless. Lin is patient, thoughtful, and tall. For most of the first episode we get into a fairly complicated and beautifully choreographed backstory about how Won and Lin were witness to the tribulations of Eun-san (played by Yoona), a girl who was on the wrong end of a bunch of assassins.
To be honest I wasn't totally that enamored with the first episode of "The King Loves" because while it looked cool, almost all of the action was being initiated by characters who lacked screen presence. The main important establishing storytelling it does is by showing off all those kickin' rad Goryeo era costumes. As is usually the case for Goryeo dramas, all of the characters, even the women, are unusually aggressive, so no poking around with obscure court procedures here.