I really do think that the first 6 episodes of this season were a hangover from Season 5, and had they been able to do it, most of what took place (Fiona's incarceration, Anson's death, and the shooting of Nate Westen) would have happened at the end of Season 5, rather than kick off Season 6.
This is the first REAL episode of Season 6, and it concerns itself largely with the aftermath of Nate's death. Not just how badly Michael's relationship with his mother has been damaged, and the funeral (that actually comes at the end of the episode), but about who killed him and why.
The most obvious suspect is Rebecca. She had motive (hated Anson as much, if not more, than anyone else) and she's shown in the past that she didn't care about collateral damage, which is really what Nate was. He wasn't the target, he just had the misfortune to be standing next to Anson and whoever shot him used a high enough calibre bullet to make sure that the job was done, and that passed through his body into Nate's.
Michael doesn't want to believe Rebecca was playing him, but when they go to where the tracker Sam planted on her directed them, it appears that she was. The tracker was in the room (Sam still doesn't know how she worked out it was in the heel of her shoe, however she was a pro) and she was long gone. Long enough to get to Atlantic City and kill Anson.
Sam gets a call from Elsa and asks if he can take off and let Michael and Fiona deal with chasing down Rebecca. They say yes.
We finally get to see the mysterious Elsa. I'd always got the impression that she was blonde (maybe it was the name, and this was before Frozen came out), and a sort of Real Housewives type, a lady who lunches. She's brunette and a high powered executive. She also has a son, a borderline juvenile delinquent. Evan (her son) is why she called Sam.
He stole a diamond bracelet from her, but that's not the issue, she does want it back, but she's concerned that he may be in serious trouble. Sam takes Jesse with him and they try to overwhelm him. It turns out he's in debt big time. To a vicious thug called Morris played by Richard Burgi, with a mixture of menace and sleaze. Morris won't break Evan's legs if he steals a truck, Sam (called Chuck) and Jesse are his accomplices.
The truck is of course a mobile drug lab, that belongs to one of Morris' competitors. Jesse gets to make bombs in the back and hurl them at the pursuers while Sam and Evan try to escape. Michael eventually steps in, plays a crooked cop and pits Morris and his gang against the competitor, all of whom are armed with Mach 10's.
Sam reunites mother and son, advising them to patch up their differences over a bottle of tequila.
While this was happening Michael and Fiona were tracking down Rebecca. She was still in Miami, waiting for fake id. In a chase Michael manages to wound her, and she winds up at his loft. She didn't kill Nate, she wasn't in Atlantic City and she didn't have the means to hire someone else. She just wants to find her own brother and disappear. No one is any the wiser as to who killed Nate Westen, but his brother is prepared to die trying to track them down.