In the storage bay, Jayne puts on the rest of his protective gear and goggles, attaches himself to the hoisting wire, and, after a countdown to Kaylee, jumps through the hatch on the ship down directly onto the roof of the cargo car. He fights the wind resistance and crawls toward the opening Zoe and Mal have made by removing the ceiling panel. In the previous train car, that soldier who left his companions earlier appears to be socializing with some commoners for an unknown reason (maybe he's a nice Alliance soldier?), and is drawn to the sounds coming from the storage car. He cocks his machine gun and heads in their direction. Back in the storage car, Jayne pulls himself through the hole, and the three anti-heroes attach the cargo to the ship's winch.
Just then, the soldier arrives at the door, and apparently the canister that Zoe placed earlier was some sort of gas-grenade trap. It goes off when he slides open the door, distracting him and informing the anti-heroes that the jig is up. The guard opens fire through the gas, and manages to hit Jayne in the leg because he's standing on top of the cargo. Mal and Zoe duck down and avoid the fire, and order Jayne to have the cargo (and himself) pulled up immediately. I know a couple of posters have wondered why Mal and Zoe didn't jump on as well and ride off, but the gas was clearly only a momentary distraction. The two of them had to stay behind to take out the guard, because otherwise all three of them would get their asses shot off while trying to ride the cargo back to the ship. Mal knocks out the guard as Jayne and the ship make their escape. Then Mal and Zoe toss a couple of smoke grenades into the previous passenger car as the other soldiers begin to enter the other side; they use the distraction to sneak into a couple of seats to pretend they're just innocent bystanders as well. Back on the ship, Kaylee freaks out because Jayne is alone, while Jayne bitches about getting his "gorram" leg shot as he falls to the floor. Great. Made-up expletives. Excuse me for pointing out that since humans still believe in God in the twenty-sixth century, I can't imagine why they wouldn't still be saying "goddamned."