Smithers finds Mr. Burns having a nightmare in which he constantly murmurs the name "Bobo". In a flashback, it is revealed that as a child, Burns lived with his family and cherished his teddy bear Bobo, but he dropped it in the snow when he left to live with a "twisted, loveless billionaire". Meanwhile, preparations for Burns' birthday are underway and, after the Ramones perform, Homer is chosen to entertain the party guests with a comedy routine; however, Burns finds Homer's routine offensive and angrily orders his security guards to break up the party.
Burns reveals to Smithers that he misses his cherished bear Bobo and desperately wants it back but has no idea where it is. Another flashback reveals Bobo's history: after Burns leaves it behind, the bear eventually finds its way to Charles Lindbergh, who tosses the bear into a crowd, where it is caught by Adolf Hitler. In 1945, Hitler blames Bobo for losing World War II and tosses him away. Bobo is seen again in 1957 on board the USS Nautilus headed for the North Pole. Bobo becomes encased in a block of ice until picked up by an ice-gathering expedition in 1993. The bag of ice with Bobo in it is sent to the Kwik-E-Mart in Springfield. Bart buys the bag of ice, finds Bobo inside and gives it to Maggie to play with.
Mr. Burns starts looking for his bear, and Homer finally realizes that Maggie's new toy is Bobo. Homer negotiates with Burns and agrees to give it back in exchange for "a million dollars and three Hawaiian islands. The good ones, not the leper ones." However, when Maggie refuses to give Bobo up, Homer decides to stick up for his daughter and sends Burns away. Mr. Burns is outraged and promises vengeance on Homer unless he gets his teddy bear back.
After many failed attempts to steal the teddy bear, in desperation, Burns has Smithers literally beg Homer for the bear. Homer tells Burns that it is Maggie's now, and she is the only one that can return it. Burns decides to talk to Maggie and becomes deeply depressed and asks Maggie to look after his bear. Maggie, in an act of pity, lets the desperate Burns have the bear.