As the name states, you have to Capture Sheep. What this includes doing, is collecting Sheep from the centre, and then taking the collected Sheep back to your assigned pen.
You get 10 gold, which can either be stockpiled to win the game ( You have to collect 600 gold to win the game, or you can go and eliminate all the enemy troops though this is a lot harder ), or you can use the newly collected gold to create troops, which in turn can be used to collect more sheep, and can therefore make you win the game faster.