Nikolai being the less wounded one of the two and carries Soap to a safe house in Russia, where they receive help from a friend of Nikolai who shares the same goal to take down Makarov. So, you have been warned, just after Soap and Nikolai killed General Shepherd, the game carries on from there with both Soap and Nikolai injured from the fight. This does contain huge spoilers for Modern Warfare 2 but if you haven't played it, you should go play it and then come back to finish reading.
The plot of Call of Duty: Modern Warfare 3 carries on from the second installment of the series and starts straight where the second left off.