The Magic Lamp is an artifact with the ability to imprison and enslave genies. A genie enslaved by the lamp must do whatever its master commands. At some point before Shantae was born, its power was divided into three Magic Seals, rendering it powerless. These three seals came into the posession of artifact collectors known as Three Barons of Sequin Land.
The lamp itself was recovered by Uncle Mimic from an unspecified ruin, and then stolen by Risky Boots. Her plan was to use it to rob Shantae of her Half-genie powers, and to use those powers to rule the world or something. That Risky!