I just recently played through Crysis again. Just before the tank level the marine guy with the baseball cap says to Psycho, "You have a new assignment, meet up with Alpha Squad..." or something like that and Psycho tells Nomad he'll catch up with him later.. that's where Warhead picks up.
Cool thing is they definitely had whatever happens in Warhead planned out to some degree already. When you meet back on the carrier Nomad asks Psycho if he went anywhere interesting and Psycho says, "You wouldn't believe me if I told you, Mate.".