The episode opened with Neal Caffrey planning elaborate maneuvers to avoid video cameras - it involved choreographed steps to music. Mozzie was urging him on. Caffrey was making progress, but not enough to make Mozzie happy.
Next, Caffrey went into work and met his new handler, Agent David Siegel (Warren Kole). Siegel practically fell over himself praising the criminal who he was keeping an eye on, falling just short of his asking for an autograph. That made his boss, Peter Burke, who had relinquished handling duties so that he could run the department impartially, express doubts at first, but Seigel then him know he was just playing up to Caffrey's vanity. After seeing Kole on The Following, I half-expected him to then scream out, "FOR JOE CARROLL!!" and start shooting at people in the office.
It turned out the FBI was targeting the shell company Mozzie is running through online auctions and that led Caffrey and Siegel to go to a warehouse. Caffrey went in first, ostensibly to case the place, and warned Mozzie that Siegel is there to arrest him. An alarm went off and Siegel burst in and saw Mozzie, but the balding, bespectacled criminal got away. When Siegel gave the description, the office immediately knew it's Mozzie.
Agent Diana Berrigan, 8 months pregnant, seemed to be having crisis about losing her job after giving birth; she was pulling all-nighters in attempts to find to who was behind the shell company. Finally, a name came out: Teddy Winters.
After a ridiculous scene with Neal finding Mozzie in a park as The Statue of Liberty (that was two silly outfits for Mozzie in a row; Willie Garson must hate the wardrobe department now), Mozzie revealed that his core identity was Teddy Winters. He used it to see if parents came looking for him. The Feds would know who he really was. The two hatched a plan.
They let the feds think they found Mozzie by tracing his IP address at the warehouse, but Mozzie ran back and blew it up. Berrigan thought the death was faked and went investigating on her own despite being very pregnant and getting direct orders from Burke to go home and rest. She found a fake manhole cover and found Mozzie in a hiding spot. Of course, just as she was ready to turn him in, she went into premature labor from stress and Mozzie, first ready to run, gets an attack of conscience and came back to help.
Earlier, Peter had told Neal that the Curtis Hagen evidence was in lockup upstairs, due to his parole hearing coming up, and Caffrey goes upstairs to do some damage to it since Hagen had blackmailed him in the previous episode. This is where the choreography came into play. Neal successfully dodges the cameras (this was interspersed with Mozzie helping Berrigan give birth - not quite the end of The Godfather, but pretty good). At one point though, Burke saw Caffrey's hat still on his desk and being suspsicious, went upstairs, but found nothing amiss.
The show ended with Berrigan in the hospital with her new baby boy and conveniently forgetting that it was Mozzie (AKA Teddy Winters) who helped her. Mozzie was off scot-free with the certainty that Hagen was going to be back on the street and would still be holding Caffrey in his grip.