After the previous episode ended with Sansa being raped by the former Bastard of Bolton, many had hoped that this week would see some sort of upturn in fortunes for the eldest remaining (true-born) Stark, maybe even a hint of revenge. Of course, this being Westeros, and her being Sansa Stark, that was never going to happen. She tries to talk some sense into Theon/Reek, and gives him the northern womans candle to light and place in the window of the highest tower - the signal that she needs help. The show gives brief hope that hes actually going to do it, but instead Theon is still unable to break out of Reek-mode, and takes it straight to Ramsay. He uses that to continue his torture of Sansa, as he shows her the flayed body of the woman who tried to help her.