Sharpe's Prey is chronologically the 5th book in the [Richard Sharpe] series. It takes place in Copenhagen, Denmark, 1807 when Sharpe is tasked with protecting an aide to the Duke of York, but eventually becomes part of the Bombardment of Copenhagen.
The story begins with Sharpe returning to his childhood orphanage. He pretends to be buying drummer boys for the 95th, but is just back for revenge. He robs the head, Jem Hockings, who had flogged him in his youth, kills him and one other man, gives the money to a girl and runs.
Then he meets Major General David Baird in the Frog Pick, who was with him at the Siege of Seringapatam. He offers him the task of protecting Captain and Major Lassiver. Sharpe accepts, and is taken to him the next day. They then sail to Copenhagen, but Lassiver runs off in Koge.