Where did he go ice fishing?
Jack tells Rose a narrative in order to prevent her from jumping into the ocean and taking her own life. In that narrative, he claims he went ice fishing in Lake Wissota, a lake near Chippewa Falls, to warn her of how cold the water would be.
Now, this is an intriguing story, primarily because it makes no sense. The Chippewa River was dammed in 1918, resulting in Lake Wissota, which was built six years after the Titanic sank. So, did Jack arrive from the future, or was he simply fabricating a story to keep Rose from jumping?