We do not understand why the makers of this toy chose to call it Electric Sheep. However we do not really have another name for it, although it is a familiar puzzle or challenge that you often find at a village fête.
Basically there is a wire that has a lot of bends in it, and you have to navigate your way around it using a stick with a wire loop at the end. If the loop touches the main wire, it closes an electric circuit and a bell rings, and that is the end of your go. If however you manage to get all the way round without causing the bell to ring, then you normally win a small prize.
Normally the wire loop that you hold in your hand is connected to a wire, that forms a part of the electrical circuit. The thing that is unusual about this toy is that there is no wire. Instead you have to hold the base of the toy in one hand, and the little metal stick with the loop at the end in your other hand. Then if the loop touches the wire, the electrical circuit flows through your body, and the sound effect plays. You cannot detect the current flowing through your body, as it is very low indeed. And clearly there are some clever electronics in the base of the toy that detect the presence of the micro current running through your body, and then trigger the sound effect. The whole toy runs on batteries, so there is no danger of electrocution!
But where are the sheep?