Its about how Rin killed people and Len is trying to take the blame(again). Rin doesn't understand what Len's doing so that's why he keeps on saying "Say my name" in the song.
They are projections of Harry Potter and Hermione Granger. They appear in the Harry Potter and the Deathly Hallows chapter The Silver Doe when Harry opens the locket Horcrux for Ron Weasley to...