Probably he'd like to know that himself. When the game starts, he knows just as much as you, if not less.
'Born into a Neverhood that may never exist.' See? It's on Klaymen to find out who he is and what's going on. And IF the Neverhood will exist or not.
Willie will help him, though. So listen to him! All YOU have to do is exploring the wonderful Neverhood and solving the one or other puzzle with a healthy amount of neverhoodian logic. Oh, and saving the world, of course.
Some basic hints on that: 1) When you're stuck, always remember if you've seen or heard something similar in another place. It's very likely it helps to move on. 2) Check out EVERY place and try out everything (it's fun!) and write things you've seen down. 3) Read Willie's mail. 4) Be sure to bring a loooot of time when wandering through the Hall of Records, hehheh.