In the season two finale "Anasazi", Mulder finds a boxcar full of dead alien-looking bodies which he believes were hybrids. In the season three premiere "The Blessing Way", during Mulder's near death experience we see a short sequence from the past of those victims in the boxcar being killed / gassed to death with cyanide. This is similar to those "people" getting shot at the beginning of this episode.
Whether you believe Scully's theory that there's no such thing as aliens or alien abduction is for you to decide, based on the things you've seen on the show so far.