I always suck at explaining things, but I'll give it a shot...
 They are the characters from the stories as in they did go through all the stuff we learned about, though we didn't get all the details right. They were forced to leave their world or rather worlds, where all of their stories originated, known as the Homelands because they was being taken over by an army lead by a monster known as the Adversary. They came to the only world with out magic and world the Adversary wasn't bothering taking over, our world which is known as the mundane world. This all happened in about the 1600s if I'm right, they lived in the starting colonies in America, more specifically the same spot as modern day New York, for hundreds of years. Also most of the fairy tale characters, who call themselves Fables, don't age.
...Like I said I suck at explanations, but you can ask more questions if you don't understand