Yes, they are a progressive-rock band who base all their songs on a very dark interpretation of the world of Megaman. I posted a synopsis of their second album on my brother's page, let me go get it:
The story now skips ahead about two decades, and a generation has grown up living in the life of luxury the robots provide... but there are tales of a red-eyed demon in the shadows who kills men who ask the wrong questions or visit the wrong parts of town. A young man called Joe, disgusted with what the city has become, resolves to leave and is hunted by the demon, which is actually the Sniper, the robot that killed Emily. He manafges to take its own weapon and shoot it with it, holding it off long enough for Doctor Light, who is returning to the city, to finish it off. Light speaks with Joe and tells him how to launch an attack on Wily's transmission center, breaking his control over the robots long enough for Light to slip through his net and kill Wily. Joe launches the attack, but the bomb detonates prematurely and blows him off the roof of the building. It does disable the transmission center... but plays right into Wily's hands. He had built a second transmission center, and he declares the city to be under attack by insurgent forces and declares martial law. Light becomes suicidal, but then he reads the letter Emily left him all those years ago, in which the most important line is, "This city needs you now."
The last words on Act II are Dr. Light saying, "Joe... when you see Emily, tell her to wait for me, because I still have work to do."