The train is a very challenging level and it tests your skill with every turn. There is a way to get out of it but getting to it is very hard. Only try the following on agent setting.
Objective A Destroy the brake units. The brake units are a grey box with red and yellow lines coming from the bottom of it. You will find it in every room. Sometimes the unit is behind where you enter the room and sometimes at the far end. After you have destroyed them all it will say, "Objective A: Completed".
Objective B Rescue Natalya. Getting to the room where Natalya is held hostage is the hard part. Once you're there it's easy. When you have reached the room, Trevelyan will say, "Glad you can make it, Bond. Do step in." Don't do what he says. He will talk to you for a while but the limit is when he says, "The girl, or the mission." Before he says "The girl, or the mission.", aim your gun at Oumorov. Shoot him and Natalya will stand there and go to a computer. That's all for Objective B.
Objective C The hardest objective is to escape safely with Natalya. After Trevelan blows up the floor in one minute you have to escape. There is a grey door to your left near where you entered. Get out your watch laser and shoot the locks holding the door in. It may take a while or even too long for you to open the door.
However, this is your only way out so you have to do it. You have to have precise aim to bust the locks which makes it difficult. When you shoot the locks the door falls allowing you to escape in time. If this doesn't happen Natalya dies. Then you sooner or later will die which results in you failing your mission and having to repeat it.
You have to wait for Natalya to get off the computer and come with you which can be annoying because the bombs can blow up and she can get killed. However there is an easier way. Simply shoot the computer she's working at (but don't shoot her and be careful for the blast not to kill her either). Then she'll follow you out of the train.
Underneath the train there are still guards and you have to shoot them before they shoot Natalya. As soon as you come down, turn to your left and shoot the guards hiding behind the boxes. After you have killed them go to the front of the train. Congratulations - you have finished one of the hardest levels in the game!
Note that there is an RC-P90 in the level. In the first room (the room where you started) shoot all the guards. Then, before the first door there will be two boxes one on top of another. Shoot the top one till it explodes, and circle around it until you pick it up.
