After the whole scene with Tifa where Cloud "finds himself", you can return to Nibelheim to find out how Cloud ended up in Midgar to team up with Avalanche. Go into the Mansion, go down into the basement, and when you reach the library a cinematic will start which reveals this story. It's not crucial to the game or anything, it's just a little bit of info. Just sit back and watch, it's not very long.