New York (CNN) -- Faisal Shahzad made a practice run in Manhattan the day before he allegedly tried to blow up a car bomb in Times Square, according to a law enforcement source with knowledge of his questioning.

Last Friday, Shahzad drove his white Isuzu from Connecticut through Times Square, where he staked out potential locations for the following night's planned attack, the source said. He then parked the Isuzu several blocks away from Times Square, though the precise location was unclear, and took a train back to Connecticut, the source said.

On Saturday night, with his recently acquired Nissan Pathfinder loaded with his makeshift explosives, Shahzad drove southbound along Manhattan's East River on FDR Drive to the 49th Street exit, the source said.

Shahzad then pulled over and reached into the Pathfinder's rear compartment where he attempted to set into motion the process needed to set off the homemade bomb, the source said.

The source, who did not explain how Shahzad had attempted to set off the bomb, said he then took a number of turns and wound up entering Times Square by driving south down Seventh Avenue. The source said Shahzad told investigators he turned right onto 45th Street toward Eighth Avenue because he saw a place to pull over.

It's unclear why Shahzad left the Pathfinder's engine running and hazard lights blinking.

But because of an incredible goof, Shahzad couldn't use his escape car. He had accidentally left the keys to that vehicle in the Pathfinder that he thought was about to blow up, the source said.

He apparently went to a train station, where he boarded a Metro North train back to Connecticut.

Another law enforcement source said investigators found a train receipt used by Shahzad that is stamped about 7 p.m., a half hour after a witness notified authorities that the car in Times Square was filing with smoke.

Sources say investigators believe he ran to catch the train that pulled out around 7 or 7:15 Saturday night.

The source added that police investigators have discovered a surveillance video of Shahzad walking in Shubert Alley -- which runs between 44th and 45th Streets just west of Broadway -- moments after witnesses saw the smoky SUV. In the video he is wearing a white baseball cap.

Efforts also continued Wednesday to determine what may have motivated Shahzad. An official familiar with the investigation said Wednesday that Shahzad felt Islam was under attack.

Any grudge Shahzad may have held against the United States appears to have developed recently, according to a senior U.S. official who is familiar with the investigation but not authorized to speak publicly.

The investigation has found nothing to indicate that Shahzad had any long-standing grudge or anger toward the United States, the official said.

"What we know is, the dynamic appeared to have changed in the last year," the official said.

Investigators have not determined whether Shahzad had any training from Pakistani groups in anything, the source said.

Additionally, the official suggested, detentions in Pakistan have been carried out to collect information and not because officials had reached any conclusions about their guilt or ties to any groups.

"They are reaching out to people, bringing them in and doing their due diligence, but 'arrest' suggests a strong connection to the guy. While anything is possible, they haven't arrived at any conclusion," the source said.

Authorities in Pakistan have rounded up a number of people for questioning, as U.S. law enforcement sought Wednesday to piece together the actions and motivations of Shahzad.

Iftikhar Mian, the father-in-law of Shahzad, and Tauseef Ahmed, Shahzad's friend, were picked up in Karachi, Pakistan, on Tuesday, two intelligence officials said.

An intelligence source said Wednesday that Muhammed Rehan, an associate of Shahzad, also was detained on Tuesday.

Rehan allegedly was instrumental in making possible a meeting between Shahzad and at least one senior Taliban official, a senior Pakistani official said Wednesday.

The official said that Rehan drove Shahzad on July 7 in a pickup truck to Peshawar, Pakistan. At some point, they headed to the Waziristan region, where they met with one or more senior Taliban leaders, the official said.

Rehan is believed to have links to the militant group Jaish-e-Mohammed, which is close to al Qaeda and the Pakistani Taliban, the official said.

Several officials in Karachi said Rehan was picked up in Karachi's North Nazimabad district. They said others were taken into custody for questioning on Wednesday, but could not say how many, who they were or where they were seized.

A senior U.S. official said investigators were looking into possible links between Shahzad and Pakistani groups and had found none, "but that doesn't say there is no connection."

The official added that there was nothing to indicate Shahzad is from an extremist family.

Asked whether Shahzad was a "wannabe" who may be inflating his contacts, the source said, "It is going to take a little more time for the investigation to gel."

Investigators have uncovered no evidence that Shahzad had U.S.-based associates related to the plot, a federal law enforcement official said Wednesday.

Investigators believe he handled the logistics himself, from purchasing the car to buying the materials for the bomb, the official said.

Investigators are looking for any associates who may be overseas, the official said.

The federal law enforcement official said Wednesday that Shahzad was still cooperating with the FBI and had waived his right to a lawyer. The official did not provide details about what Shahzad has been saying.

The official acknowledged that the FBI lost contact with Shahzad while conducting surveillance of him prior to tracking him down aboard a plane set to take off from New York's John F. Kennedy International Airport, but the official did not say for how long.

The official said agents had not wanted to tip off Shahzad that he was under surveillance, that the situation involved multiple locations and that Shahzad was aware of news reports that a suspect had been identified.

"There were a lot of traps out there to catch him if he did flee and, in the end, it worked," said the official.

Shahzad, a 30-year-old naturalized U.S. citizen from Pakistan, was arrested late Monday at JFK airport after boarding a flight bound for Dubai, United Arab Emirates. His final destination was to have been in Pakistan.

When authorities did track him down, Shahzad apparently was unsurprised. "Are you NYPD or FBI?" he asked. A Customs and Border Protection agent exposed his badge and said, "CBP," an administration official said.

In Washington, State Department spokesman P.J. Crowley told reporters that "the Pakistanis are fully cooperating in the investigation. They recognize, as we do, that this is a shared responsibility and a shared threat."

The charges paint him as a terrorist who received explosives training in Pakistan's volatile Waziristan region, where government forces have been working to root out Taliban militants. The Pakistani Taliban, a major militant group in the region, praised Shahzad but denied any link to him.

Read complaint filed in federal court Tuesday (PDF)

Shahzad has been charged with attempting to use a weapon of mass destruction, acts of terrorism transcending national boundaries, and three other counts in connection with the incident. If convicted, he faces up to life in prison.

Shahzad admitted he drove a Nissan Pathfinder into Times Square on Saturday night and attempted to detonate the vehicle, which was packed with gasoline, propane tanks, fireworks and nonexplosive fertilizer, according to a complaint filed Tuesday in U.S. District Court in New York.

Court documents said that, after receiving bomb-making training in Pakistan, Shahzad returned to the United States via a one-way plane ticket February 3.

Upon his return, Shahzad qualified for secondary, or more detailed, screening under Customs and Border Protection criteria and was interviewed, the administration official said.

He told immigration officials that he had been visiting his parents in Pakistan for the previous five months, according to the documents. He also told officials that his wife remained in Pakistan.

CBP, following protocol, sent a report to the FBI and other intelligence agencies that included Shahzad's passenger information, the official said. Included in that report were phone numbers associated with his travel, when he bought his ticket, and when he filed a customs form, the official said.

Last weekend, as they investigated the failed bombing attempt, FBI agents turned up a telephone number but no name in connection with Shahzad's purchase of a Nissan Pathfinder. When agents searched databases containing the numbers called by or to that phone, they found the number on the CBP report, the official said. That is how they came up with Faisal Shahzad's name.

The court documents show that Shahzad apparently maintained contact with people in Pakistan after returning to the United States.

He received 12 phone calls from his country of birth in the days leading up to the incident -- five on the day he bought the Nissan Pathfinder used in the attempted attack. Those calls ceased three days before the failed bombing, the documents show.

Authorities began focusing on Shahzad after tracing the sale of the Pathfinder to him.

Shahzad has a Karachi identification card, a sign of Pakistani residency, according to Pakistani Interior Minister Rehman Malik.

Shahzad's father, Bahar Ul Haq, is a retired senior officer in the Pakistani Air Force. The former air vice marshal lives in the Peshawar suburb of Hayatabad, according to Kafayat Ali, whose father is a first cousin of Shazad's father.

Shahzad lived at his father's house in Hayatabad when his father was posted in Peshawar, Ali said. Shahzad, his elder brother Amir and their two sisters moved with the father and received their education in the cities where the father was assigned.

Ali said Shahzad's hometown is Mohib Banda, a village about 78 miles (124 kilometers) northwest of Islamabad, Pakistan. Ul Haq has farmland in Mohib Banda, and Shahzad and his siblings visited there during vacations and to attend relatives' weddings.

Ali said Amir is a mechanical engineer living in Canada, where he is married and lives with his family. Both sisters are married; one is a doctor and the other is a housewife.

CNN's Susan Candiotti, Deb Feyerick, Elise Labott, Reza Sayah and Samson Desta contributed to this story.