It's actually in S1E8 ("Entangled Bank"), where around the 11 minute mark, we see Helena exploring the jacket she got from Sarah, when they posed as each other to escape the Neolution nightclub the episode before (S1E7, "Parts Developed in an Unusual Manner"). In one of its pockets, she finds Kira's letter.

In S1E7, "Parts Developed in an Unusual Manner", Helena and Sarah pose as each other to escape the Neolution nightclub. To do so, they switch coats. Sarah gets Helena's parka and Helena gets Sarah's leather jacket.

In S1E8, "Entangled Bank", around the 11 minute mark, we see Helena exploring the jacket. In one of its pockets, she finds Kira's letter.