In the comic book actual Captain america storyline, Cap is a 1940s world war 2 hero, so how did he get to our time and join the Avengers? During a battle in the 1940s, he fell down to the river and was iced over, supposedly placed unwillingly in suspended animation. Nick Fury and the Shield of our time searched for him, cut out the ice, and thawed him out, just in time to form the Avengers!
Did you miss the secret segment after the credits in the movie Thor? Well, we and a lot of other movie goers were used to this special easter egg by Marvel and waited for this secret shot:
Youtube has taken out the leaked Iron Man 2 spoilers from their database but some sites still feature it like this one.