Here is what she said in a recent interview with The Big Issue.
"Fans of the first film really wanted to find out what happened to Peggy afterwards, so Marvel are also making a short film, which is basically 'What Peggy Did Next', which will be shown at Comic-Con [the annual international pop culture convention held in San Diego] and be on the DVD extras of the second film."
She went on to express her excitement for the spin-off.
"So as well as doing a bit in the new film, I've got a whole new spin-off short film. It has been great to be back in training with the stunt co-ordinators, kicking some butt again."
Peggy Carter will appear in Captain America: The Winter Soldier via brief flashbacks.
Captain America: The First Avenger was released July 22nd, 2011 and stars Chris Evans, Hayley Atwell, Sebastian Stan, Tommy Lee Jones, Hugo Weaving, Dominic Cooper, Richard Armitage, Stanley Tucci. The film is directed by Joe Johnston.