Jon is exploring the mountains, looking for Mance Rayder with the Halfhand and Stonesnake. They spot a fire up on a mountain pass. Jon and Stonesnake climb up and attack the camp. One of the wildlings is a girl and Jon, being a big softy, takes her captive.
She tells a pretty awesome story of an old wildling king who, insulted by the then Lord Brandon Stark (but we don't know which one or how long ago), snuck into Winterfell and pretended to be a singer. He wooed Stark's only daughter and she bore him a son. Years later, in a battle, the son killed his father, not knowing it was his father. He took the head back on a spear and his mother saw and hurled herself off a tower in grief. All of which is an excellent tragedy, and if true leaves the current generation of Starks descended from wildlings.
Halfhand rejoins and points out they can't look after prisoners. He leaves Jon to kill her. But he's still a softy, and frankly if you ask me it wouldn't be very Stark-like to kill a prisoner in cold blood, so he let's her go. Like most good deeds in Westeros I'm sure this one won't go unpunished.