The shield originally belonged to a guy named Steve, who is sort of like a golden retriever in human form. You and he set off to find a super secret brainwashed assassin, who turned out to be Steve's best friend from childhood. Who immediately went on the run once he started to remember who he was.
Two years later, that (ex)assassin gets blamed for some shit, and you and Steve end up finding him in Romania. Everyone gets arrested, we all have a great big fight in an airport, and then.... well, the aliens happen another couple of years later.