Very soon after, General Carr received orders from General Sheridan for a winter's campaign in the Canadian River country, instructing him to proceed at once to Fort Lyon, Colorado, and there to fit out for the expedition. Leaving Fort Wallace in November, 1868, we arrived at Fort Lyon in the latter part of the month without special incident, and at once began our preparations for invading the enemy's country. General Penrose had left his post three weeks previously with a command of some three hundred men. He had taken no wagons with him, and his supply train was composed only of pack mules. General Carr was ordered to follow with supplies on his trail and overtake him as soon as possible. I was particularly anxious to catch up with Penrose's command, as my old friend Wild Bill was among his scouts. We followed the trail very easily for the first three days, and then we were caught in Freeze-Out Canyon by a fearful snowstorm, which compelled us to go into camp for a day. The ground now being covered with snow, we found it would be impossible to follow Penrose's trail any farther, especially as he had left no sign to indicate the direction he was going. General Carr sent for me, and said that as it was very important that we should not lose the trail, he wished that I would take some scouts with me, and while the command remained in camp, push on as far as possible, and see if I could not discover some traces of Penrose or where he had camped at any time. Accompanied by four men, I started out in the blinding snowstorm, taking a southerly direction. We rode twenty-four miles, and upon reaching a tributary of the Cimarron, we scouted up and down the stream for a few miles, and finally found one of Penrose's old camps. It was now late in the afternoon, and as the command would come up the next day, it was not necessary for all of us to return with the information to General Carr. So riding down into a sheltered place in the bend of the creek, we built a fire and broiled some venison from a deer which we had shot during the day, and after eating a substantial meal, I left the four men there while I returned to bring up the troops. It was eleven o'clock at night when I got back to the camp. A light was still burning in the General's tent, he having remained awake, anxiously awaiting my return. He was glad to see me, and was overjoyed at the information I brought, for he had great fears concerning the safety of General Penrose.