What does Winston think when he first sees O’Brien in the cell?

Winston's initial reaction upon seeing O'Brien appear in the cell is to think that O'Brien, also, is under arrest. In other words, Winston doesn't at first grasp that O'Brien, when meeting with Julia and with him, had only pretended to be opposed to the Party. In the cell Winston naively cries out, "They got you too!", to which O'Brien replies, "They got me a long time ago, Winston." By this O'Brien means that he accepted the philosophy of the Party many years ago.
This is part of the bursting of Winston's bubble of delusion. Even during the meeting with O'Brien in his flat, there are clues that O'Brien's behavior is just a ruse. In O'Brien's asking, "what should we drink to?", such as the defeat of Big Brother or the confusion of the Thought Police, we are told that he says this "with a faint suggestion of irony." Winston never has had any valid reason for believing that O'Brien is secretly against the Party. It is mere wishful thinking on his part, though he knows, of course, that going to O'Brien with Julia is taking an enormous risk. Winston's inner rebellion against the Party has been so intense that he has been unable to contain himself, and he wishes to seek out and join "the Brotherhood" even if it means risking his and Julia's lives to do so. Yet Winston has seemingly known, from the beginning, that he is going to be found out and arrested, since the Thought Police are believed to have an almost omniscient power.
The realization, in the cell, that O'Brien has tricked him is a mental blow immediately followed by the physical blow of the guard's truncheon upon Winston. He realizes that physical pain is the ultimate punishment, and that one can never wish for an increase of it, no matter what the alternative means. This is the start of Winston's "re-education," which essentially turns him into a Big Brother-worshiping zombie.