The Attack on Jotunheim was a failed attempt undertaken by Thor to attack Laufey after Frost Giants broke into Odin's Vault and tried to steal the Casket of Ancient Winters.
In 965 A.D., the Asgardians battled the Frost Giants on Jotunheim during the Asgard-Jotunheim War, ultimately winning the fight. Odin made a truce with Laufey, leader of the Frost Giants and confiscated the Casket of Ancient Winters. He also took an abandoned baby and adopted him, naming him Loki.
During Thor's coronation, the truce was seemingly broken when the Frost Giants entered Odin's Vault and tried to steal the Casket of Ancient Winters, but not before the Destroyer interfered and thwarted the theft.
Thor, enraged then swore revenge on Jotunheim and gathered Loki, the Warriors Three, and Lady Sif to accompany him on the journey to Jotunheim. Then, Thor asked Heimdall to keep it a secret and then Heimdall transported them all to Jotunheim.
Odin, enraged that Thor had selfishly attacked Jotunheim, sparking a war that Asgard is forced into and as a result, stripped him of his powers and banished him and Mjølnir to Earth.