The first episode starts at the end of the third season of the HBO series, more specifically during the Red Wedding.
Do I get to control canon characters or to interact with them?
The player controls several characters created for the game, all part of House Forrester, bannermen of the Starks. During the first episode they meet Margaery Tyrell, Cersei Lannister, Tyrion Lannister and Ramsay Snow, all voiced by the actors from the HBO series (and with their appearance modeled after them).
Does the game follow the show or the books continuity where the two differ?
As of Episode 1, it's still too early to tell.