The Sheep program is based on the work of Japanese animator
Tatsutoshi Nomura's 1994 "Stray Sheep" series of five-minute animation shorts that were shown at midnight on the Fuji Television network in Japan.
A series of books followed from Mr. Nomura a decade later as well as other merchandise including Playstation games.
Unfortunately, it is in japanese. But if you want traduce it with Google you can open this link:
You can see this sheep also on youtube:
Straysheep books: http://www.fujitv.co.jp/straysheep/works/books.html
There was a video game for Playstation 1 in the 1999.
On the page you can see some screenshots.