Albert tells Mulder about the Anasazi, a tribe who vanished without a trace hundreds of years ago. Albert says the truth is "nothing disappears without a trace," and that the tribe was abducted "by visitors who come here still." Albert's grandson takes Mulder out to the canyon and reveals what he found - a train refrigeration car buried in the earth. Mulder gets a call from the CSM, who warns him that if he exposes the MJ files he will also expose his father's involvement in the project. The call is traced, and CSM and a group of soldiers take off in helicopters. Mulder goes into the car and finds mounds of bodies like the one from the teaser. Scully calls him to say that both her name and Duane Barry's appear in the files involving a test. Mulder thinks the bodies in the car are alien...until he sees one has a smallpox vaccination scar. "Oh my God, Scully...what have they done?" he asks before the door to the car closes from above. The Cigarette Smoking Man has arrived and asks Albert's grandson where Mulder is. The soldiers search the boxcar and say that Mulder is gone, vanished without a trace. CSM angrily insists that "nothing vanishes without a trace!" and orders the soldiers to burn the boxcar. They drop an incendiary bomb into the car and depart in helicopters as it explodes, flames leaping out of the car, burning the bodies and possibly Mulder inside...
One of the best television seasons finale ever produced. When I first watched this I was literally on the edge of my couch. Wondering is Fox Mulder dead or alive? that made so highly anticipated for Season 3 premiere. I could not wait.