The base running anomaly started when Segura stole second base. Then, after Ryan Braun walked, Segura tried to steal third but got caught in a run down. At the end of the rundown, Segura and Braun were both on second base causing Braun to be out.
However, Segura thought he was out and started retreating to the Brewers dugout along the first base line. He then realized he wasn't out and went to first base so that he couldn't be tagged. So instead of stealing third base, he ended up at first base. He then tried to steal second base again and was thrown out.
In the end, it was just one of those sequences that you have to see to believe...