This were the infinity stones are:
Mind Stone: Vision's Forehead (Obviously Captured b'bye Vision)
Power Stone: After the fight with Ronan, the Guardians of the Galaxy gave it to the Nova Corps for 'safe-keeping', which obviously isn't effective since Thanos got the stone. (Captured)
Soul Stone: Hiemdall (Thor Ragnarok)(Unsure. JUST A THEORY) (Soul Stone has the ability to see all souls and revive them, which makes it the most powerful stone out of all the six. Yikes. At the same time, Heimdall has the ability to see anyone, souls preferably, within the realms. An ability that even Odin does not have, despite being the All-Father) (if u ask why he can't just make an army of the dead, it may be because its his duty to protect it not to expose it, he just used it for seeing each souls) (MIGHT be Captured)
Time Stone: Eye of Agamotto (In possession of Dr. Stephen Strange) (Captured)
Space Stone: Loki stole it from Odin's Vault when he was about to revive Sultur from Thor:Ragnarok to give it to Avengers as a peace offering for what he has done to New York bc he might be returning to Midgard (Earth) along with the Asgardians (might be a theory bc Tom Hiddleston said that Loki gave the stone to Thanos for a very unexpected reason.) but he gave it to Thanos instead cuz he dont wanna die (thus, what you saw on the trailers. But poor Loki. The others will see him evil once again when he just wants to do something good for once) but there's a speculation that Thanos will end Loki soon because of his incapibility of keeping the space stone to himself since Avengers 1 and Thanos isn't the most patient person we know. (Thor, Loki and the Asgards met Thanos' ship and might be killed thus, the scene where Thor encounters the guardians of the galaxy on their ship, half alive and heavily bruised and this will be the gateway to the events of the Avengers: Infinity War yaaayy)
Reality Stone: last seen in Thor:The Dark world
It's true location is in the Collector's Museum but since the museum exploded in 2014 (The same year where the Guardians of the Galaxy Vol 1 took place, yes I researched this, pat me on the back pal) we don't know if Taneeler Tivan still possesses the stone.
Btw just to add (SPOILLLERSSS)
Sorry for your loss sir, but Captain America will most likey will die since Chris Evans said that his reign as Captain America might soon be over. I know that Captain America will participate in the upcoming Avengers film in 2019 but it's more likely a flashback or a parallel universe, sort of. My information on the latter might be wrong but heyyy whatever.
Bitch please,I writed this for 15 minutes