The Happy Camper Orphanage is where Sly was sent when his mother and father were murdered by The Fiendish Five. Owned by Mrs. Puffin (who Sly felt was a rather mean person towards them), it was here where Sly met his future partners in crime, Murray and Bentley.
The gang also had their first "heist" here too: stealing a cookie jar from Ms. Puffin's office.
The Orphanage is shown briefly in each game in the series as Sly explains his backstory to new players. It is shown in more detail in the first issue of the Sly Cooper comic series.