What do I do about a caravan that is being attacked?

Caravans under attack are always located in the Frontier. Head there and you'll see a shield icon on the map - that's your caravan:

Get there, help fend off the Redcoats, and you're good.

When your convoy is attacked you have about six or so minutes to get to it after that it will disappear as it has been destroyed.

I think you only defend your convey in the frontier but I can't be sure (edit: I looked up and I guess I was right.) Anyway, I think you have run into a glitch that disables your convoy. It says that it is being attacked however it is nowhere to be found in the frontier.

As of 12/29/12 there is no known fix for this glitch and we will have to wait for a patch from Ubisoft. I have run into this glitch and it is pain as it can potentially cut a 1/3 out of your income.

So once your caravan has been attacked, you need to defend it in the frontier. It will be marked by a sheild icon, and you must kill the redcoats there. When it happened to me, I didn't know this unfortunately. And the same thing happened to me; it remained unusable. But, I also found a way to fix it.

At the accounting book (within the manor at homestead), you can craft another caravan. Cheaply. First, go to your stock pile. You should see a list with categories on the right, and one of them will be labeled "forest." Buy 1 oak lumber and 1 oak bark, and then go to the crafting menu.

You will see something that says recipies. Press it, and it will lead you to another list. Go to the category that says "special items." From there, if you scroll right, you will eventually find an item that says land convoy. Craft it, and the problem is fixed!

(Edit: Oh, lol! This is from 4 years ago? Sorry! But I hope you find this useful anyways!)