Your apartment. Somehow, I'm going to take a guess and assume that it wasn't aboard the Valkyrie. [This is all beyond impossible, how can Steve be here?]

You took a nap, in the ice. Then you woke up in the future. [Repeating everything is going to do no one any favours, but the truth is that Peggy's a little too stunned to do anything else right now. For one, she's still trying to convince herself that Steve is actually talking to her]

Steve. You're alive? [She's not crying, she's really not, it's just that her eyes are a little blurry, so it's lucky that she angles the device away from that, avoiding that weakness being seen]