I love NCIS. And yes, it is annoying when they play the eps out of order, because of some of the story line. You really need to start at the beginning.

The gist of Ziva's story is that she was (until this season) a Mossad officer, on loan to NCIS (Ziva came originally as a favour to Lauren Holly's director character). Then things exploded (not telling!!), and now she's working to become an American citizen and an actual NCIS agent.