2 questions brehs
1. I can't remember what the hell happened to Rickon and the girl that was originally with them?
2. why did the night's watch dude try to kidnap Little Lord Stark?
1) Rickon and Osha separated from Bran/Hodor/Reeds because Bran felt it was too dangerous of a journey for Rickon. So, Osha took Rickon to somewhere where they'd be safe.
2) Locke works for the Boltons. Remember how Ramsay Snow made Theon tell Roose that he didn't kill Bran & Rickon? Roose figures they're with Jon at the wall, so he sends Locke to go kill Jon/Bran/Rickon so the Starks have absolutely no claim to Winterfell.