Okay...

The Imperials capture a Horse Thief, a Jarl and his fellow soldier, as well as a Stranger (you). And from where I've been watching we pretty much come from the direction of Pale Pass? (Cyrodiil)

So does that mean we were trying to go into Cyrodiil.. or leave to come back to Skyrim? Theres lil things about the beginning of the game that I'm trying to understand.

If you begin the game as a nord, Hadvar will say "You picked a bad time to come home to Skyrim, kinsman", which implies that your character is caught at the border when he/she is coming to Skyrim.

things seem to be bad in Cyrodil. talk to the sister in the riverwood trader to hear her story of why she left Cyrodil

You're caught crossing the border from Cyrodiil to Skyrim. Talos only knows what Ulfric was doing there all the way south, though.

Alright so I was right. I was thinking the SAME thing about Ulfric.. like WTF was he doing in Cyrodiil? Makes me raise my eyebrow definately now...

And I'm going to have to go talk to that girl in the Riverwood Trader sometime and hear her out. I just loved Oblivion and anything relating to it (be past or present) interests me highly!

Not IN Cyrodiil. You were already in Skyrim, probably somewhere in the mountains (judging from the road the cart was on). Perhaps he was visiting Clavicus Vile to make some twisted pact Seriously though, he could be on his way to or from Falkreath, there's also a Stormcloak camp nearby.