Exposition is tough in such a short film. The only thing I can think of off the top of my head is some kind of title crawl. It's not very original, but it works: Even Superman Returns used a brief title card to explain that he has been away for 5 years in search of Krypton.

Or maybe you could have the sheriff recognise that she is one of these aliens and she says to the captain 'that girl you're with, is she a whatever' and he says yeah and explains that it's dangerous for her kind to be on this planet because people want to capture her so if she would hurry up and join his crew that would be nice so they could take off. Also, in the opening scene when they mind their horses he could tell her to be careful because there are people who want to capture her and she says 'yeah I know, it's not easy being a whatever these days' (sorry, can't remember the name of the species so i keep calling them whatever).