Have them do their Hx questions like normal. Ask them lots of questions, like you would in the First Session -- some open-ended ones, but also maybe some questions that tie in to other PCs' answers, and/or to your Fronts or things you are wondering about.
I wouldn't worry about it too much, if they've only missed one session. I guess I would be cautious about not making their PC seem subordinate to what the other players brought up in the previous session -- make sure to give them room to carve out their own space in the fiction, even though your impulse will be to try and fit them in to the existing world. Assuming your game is going to run for awhile, there's no rush to integrate them -- and a certain amount of tie-in stuff is going to happen automatically, just because of the questions you're likely to come up with and the scenes you're likely to frame them into.