Sorry, it was early ;p
I'm pretty sure you're in the second location. The thing is that when you manage to pull the train you need to go up the tiny train stairs, but instead of going inside you continue to the other side. Keep in mind though that to actually leave you need to get a train permit, so head to the tower by the wall after you've spoken with Oscar in the kiosk. The train winder is close by, so just pull the lever etc. Hope it helps.
__________________
|