As they get out of the water, Harry tells the others what he learned from his vision: Voldemort knows that they're after his Horcruxes, and that they've broken into Gringotts. He's, er, just a bit angry.
And wait, there's more: From the vision, Harry realizes that one of the Horcruxes is at Hogwarts. So they need to go there and find it.
But how are they going to get in without being detected? Apparently, they're going to have to break in.