What you are probably referring to is the cliffhanger ending of the first season. The final episode has not yet aired in the US (except for DirecTV) so anyone who hasn't seen the episode/read one of the spoilers beware (SPOILER AHEAD). In this cliffhanger ending Roxton, Challenger, Summerlee and Malone tumble off a cliff into a river below, Summerlee with the added inconvenience of an arrow sticking in his stomach. When Marguerite and Veronica get down to the river, they can find no trace of the four men.
You shouldn't be too concerned, Sara. Chances are that they all will return safe and sound in the second season.