Good episode.
You'd think Shirou would learn after a while; walking around alone is dangerous, heck, he got attacked even when he was with saber, that should've been a warning bell...
There's only one way to describe Shirou, "Curiosity kills the cat."

EDIT: In retrospect, where was RIn and Ilya? I was half expecting them to pop out when Shirou and Saber were alone.