Gears of War Act 5 - Special Delivery
Just start moving forward, Snipers on the rafters will start shooting at you. Take them down.
After the snipers are dead an emergence hole opens. Kill the locust that come out. When this batch is killed another emergence hole will open. Kill the Locust or seal the hole with a grenade.
After you close that hole clean up the remaining Locust some will be on the train car. When the Locust are mopped up go to the end of the train and cross over to the other platform. A cut scene will begin.