Events in Red Dead Redemption at the Armadillo station occur right after the initial cutscene, where you are told about Bill Williamson's gang — the brother of the main character.
Enter the saloon marked on the map with a yellow marker, where you will meet a man named Jake, who has been assigned to guide you. Follow Jake, saddle up your horse, and head to Fort Mercer. After parting ways with your companion, approach the fort to talk to Bill. He hesitates to talk, sensing a trap, and decides to shoot you. Fortunately, you are found by Bonnie MacFarlane — a woman who will save your life.