。
She came at us threatening to set fire to our house.
Literal
She [topic-は] our house [to-に] fire [object-を] set [quotative-と] threatened-and-came.
Two verbs combine: 脅す ('to threaten') in its て-form chained with the directional 来る ('come') to give 脅してきた — 'threatened toward us / came at us threatening.' The ~てくる construction here marks the threat as moving toward the speaker, both physically and socially — confrontational. The と clause gives the content of the threat ('I'll set fire to your house'); 火をつける ('to set fire to / to light') uses 火 ('fire') with つける ('to attach, to turn on') — also used for switching on lights or appliances.