See the scorch marks on his forehead? These were made by Thanos after he had found Loki from his fall off the Bifrost. Thanos used him as a puppet to conjugate Earth, that way, Loki got the blame, not Thanos. Loki never wanted to take over Earth. Notice how weak, sweaty, and sickly he looked once Loki first arrived to Earth? his sudden fall as he's walking out of the room with the Tesseract? He was suffering from heat exhaustion. How do you torture a frost giant? With heat.
Infinity Stones. In the Marvel Cinematic Universe: The Tesseract hids the blue stone, or Space. Orb contains the purple stone, or Power. Aether can be condensed into the red Reality stone. The Mind stone (yellow) was first located in Loki's scepter but now resides with the Vision.