Arya is practicing for Syrio by catching cats in the Red Keep (part of the royal castle in King's Landing). But when Princess Myrcella and Prince Tommen almost catch her, Arya escapes into an underground cellar.
There she finds the skulls of the dragons (yay) and overhears two people having a strange conversation that might have to do with killing her father (boo). Basically, in this book, overhearing people is never a good thing.
When Arya tries to tell her father what she heard, it gets all mixed up in her head; and then Yoren interrupts them. (Remember Yoren? Last time we saw him was with Tyrion when Catelyn took him captive.)