Last issue ended with New Captain America showing up to fight the Agents, since they're posing as (are, really) a crime syndicate. After a fight, they stun him, and venture inside his mind to find out who he is.
He's referring to the flashback 1950s adventure running through this arc, which finally connects to the present-day somewhat.
Anyway, the Agents drop Cap off unconscious on a roof, and leave him with certain memories of their location, because they want him to bring in...
Despite the fact that New Avengers itself has firmly established that Ronin is the leader of the team, there's a weird tendency outside of that book to act like Cap is (Mighty Avengers, Bendis' own recent FCBD issue, which was 40% New Cap and Iron Patriot glaring at each other).