The song (and the whole album Nightfall in Middle-Earth) narrates events from the Quenta Silmarillion, the book in which Tolkien sets the myths of his Legendarium (the collection of all Tolkien’s stories set in Middle-Earth and Arda).

This piece depicts the final conflict of Fingolfin, one of the first high kings of the Noldorin elves, as he rides to single combat against the dark lord Morgoth, a corrupt Vala (with the Maia race, Vala are angel-like servants of Eru Iluvatar who were the first beings created and who helped fashion Arda in the Ainulindale). Since learning of their awakening by Cuivienen in Middle Earth and their invitation to Valinor by the Vala, Melkor/Morgoth despised the power and beauty of the Eldar, the firstborn race of Eru.

After the defeat of the Noldor and their allies at the Dagor Bragollach, Fingolfin, believing the fate of his people to be utterly lost, rides to Morgoth’s black gate… “and all that beheld his onset fled in amaze, thinking that Oromë [Vala of the hunt] himself was come: for a great madness of rage was upon him, so that his eyes shone like the eyes of the Valar. Thus he came alone to Angband’s gates, and he sounded his horn, and smote once more upon the brazen doors, and challenged Morgoth to come forth to single combat.
And Morgoth came.”
(Chapter 18 of the Silmarillion)