The train is found on the boss level (the one with the skull) in Highlands. The train is at the end of this level and the jump leading up to it is really big. You must jump over the train and land the jump. If for some reason you bail on this run and the train isn't there, just wait at the top of the run leading into the jump by holding the left trigger (brake). The train will respawn every 15 seconds or so.