The Volga: From Duke's train car, follow the rail to the next overpass. When you reach it, you should be able to see a burnt-out van below the overpass to your right. The note is inside the van.
Brother Peter, you will have to abandon your holy quest and bring your party back - a new group of heathens has approached at our very gate, and there are reasons to believe that they may be far more dangerous for us than our usual assailants, as these seem to not just able to pray on our blood and fruit of our toil, but quite capable of assaulting and destroying the very foundations of our Faith. Your demon fighters will have to return to the bridge and keep their vigil until it's time to bring the mailed fist of our Lord's judgement upon the heads of the heretics.
An unworthy servant of our Lord