Rickon was shown a few times in last nights episode. He was next to Bran when the "dream" ended the first time, and as said above, he went to play in the field later in the episode, Bran even sent Summer to watch him. I cant really explain Winterfell without Tuco and Tarrant blowing their collective loads but IN THE SHOW it was thought to be the Ironborn that sacked and set fire to Winterfell on their way out. This was said or inferred last season, and last night by Rob to Catelyn ("I dont know if they are dead, escaped, or Theon took them back to the iron islands for ransom"). Theon is in the Dreadfort of House Bolton. Thats all im going to say on that.
Everything I said was based on what the show portrayed and skirted around any spoilers I know of. if you want more indepth info PM me