As others have mentioned, this is a reference to the movie First Contact, which can be inferred from the script in the question that Harry asked:
KIM: You're looking at a true sports aficionado. Let's see, how about interstellar history?
TORRES: Oh, great. You pick the one subject I almost failed at the Academy. Go ahead and ask - ah!
KIM: Are you all right?
TORRES: It just hurts a little. Feels like we've been here for days.
KIM: Actually it's been about six hours. Try to hang on, B'Elanna. Emergency crews are going find us any minute. Come on, hurry up!
TORRES: Go ahead, ask your stupid question before I pass out and you don't have anybody to play with.
KIM: Okay. Erm, it's a famous ship. Er, pre-warp civilization. Er, Montana. Er, second stage had chemical engines.
TORRES: Another clue.
KIM: Vulcans. Er, Earth, First Contact. It's er...
TORRES: Oh, right, right. Um, er, er, Zephram Cochrane's ship. What was it called? Oh, it's on the tip of my tongue.
KIM: Okay, here, here, you'd better lie down now. Enough trivia for now.
And a few moments later Seven answers the question, and blatantly says that the Borg were there, at first contact:
SEVEN: The correct response to your query. The vessel Ensign Kim was describing. It was designated the Phoenix.
KIM: Not bad. I didn't realise you knew so much about Earth history.
SEVEN: I don't, but the Borg were present during those events.
SEVEN: It is a complicated story. Perhaps another time.
Although in First Contact all the Borg were seemingly destroyed, we can believe that knowledge of this event was sent to the collective by the Borg in the Enterprise episode Regeneration.