The confidential files that unlock the Train Heist can be found on any Transport Mission. You can also find them on any difficulty.
Start the mission and look for the crashed money trucks. There can be up to 3 trucks, in the video only one spawned. The Train Heist should be unlockable in any mission though.
Open up the money truck and look through the safeboxes. Aside from your mission objectives you have to find in there, you will also find the files for the train heist. Depending on your equipment and luck this can take quite a while.
Once you found it, the achievement and a message regarding the train heist will pop.