Was he talking about Tonys crew or the FBI???
He was talking about Tony and his crew.
The scene where the woman is getting dressed is different from the "We're gonna win this thing!" scene. In the latter, Harris is analyzing an al-Qaeda tape in his office when another FBI agent comes in and tells him that Phil was killed. I interpreted "this thing" as referring to the war, and "we" to mean both the Soprano family and Harris, since Harris was an ally of Tony in the war against Phil.
Exactly, the scene was used to show how emotionally invested Harris had become in his old division, even after all those years. I believe the scene was in reference to Lindley DeVecchio, an FBI supervisor, who yellled out the same thing when he found out Lorenzo "Larry" Lampasi had been killed.
