henever you are arrested by a federal agent, it's crucial that you not talk about anything to do with the government's investigation until you speak with a lawyer. (You can talk baseball all day, but not anything about what they want to know about you or anyone else.) Agents have been professionally trained to elicit confessions from arrestees, but you must resist saying anything about facts giving rise to the arrest before you talk to a lawyer. There should be no misunderstanding about this.
Once arrested, you will be promptly presented before a magistrate, usually within six hours. It's during this time, from the point that agents come knocking to the moment when you are presented before the magistrate, that agents will do their best to elicit a confession or some kind of inculpatory information from you. Statements, even seemingly innocuous statements, you make to the agents could be turned as evidence against you.
Before your initial appearance before the magistrate, you'll be interviewed by a federal probation officer. This person will ask you for background information, such as your past employment history, your past residences, even past drug use. Even providing this information might pose a problem down the line, depending upon the case. For instance, in unlawful reentry cases a crucial fact is the date when the defendant entered the United States. A probation officer's asking of past employment might provide information for the government's prosecution that it didn't already have. Statements to probation officers aren't considered privileged and can be used by the government as admissions against interest.
At your initial appearance, the magistrate will advise you of the charges brought against you, and see whether you can afford an attorney or one should be appointed for you. If the government has filed a motion to detain you pending trial, he will keep you detained until a detention hearing can be held (usually within three days, or five days if the defendant asks for a continuance). If the government hasn't moved for detention, he will set conditions for your release pending trial.