Well guyz I'll say what we know about DMC4 so far to destroy your confusion
First: Nero works for the Order of the Sword. That Order worships Sparda and it's primary objective is eliminating Devils. Nero was found as a baby in the doors of the Order's place, so another member of the Order, Kyrie (who's some kind of priestess) took him in and raised him. Nero loves Kyrie and killing Devils so he joined the Order. Although the Order hates the use of Guns and thinks Swords are the only weapons worthy of them, they allowed Nero to use Guns also, since he carries some of the dirty jobs for the Order. We don't know what they mean by dirty.
Some day, Nero's hand was possessed by a Devil or something and by that he gained special powers. He decides not to tell the Order about it, since they would say to him he's a Devil and maybe try to kill him or something. Also, the new "Devil's Bringer" ability he gained, helps him fight the Devils so he keeps it. So when we see him along with other members he always treats his hand as if it is damaged of some sort. In the trailer, Kyrie says to him "I don't know anyone else who's as human as you are" so maybe SHE knows that Nero's hand is possessed.
One day Dante breaks in the Order and starts killing off the members. Nero witnesses this and tries to fight him, but he's no much without his Devil Bringer.
We don't know why Dante did that. But Dante is a good guy, so maybe he knows something about the Order that Nero does not.
Maybe the Order are bad guys and Nero's is used without even knowing it.
That's almost everything we know about the storyline so far