Jesse and Frank James come to town with ponies for sale. While there, they attend a ball, and have great success with the girls. The local men try to attack them, but Jesse and Frank out-fight them and escape to Mexico
This is item dE44 in Laws's Appendix II.
For full background on Frank and Jesse James, see the notes to "Jesse James (III)," the James song which has perhaps the strongest factual basis. - RBW