Hi,
Depends on the train really, which one are you having trouble figuring out?
You gotta have the ignition and engine on, of course. (press x, hold s)
I like to have the engine revving high (set throttle either via vehicle commands (usually F5/F6) or on some trains just hold arrow up, like you would in a car)
and then shift into drive or reverse using PG UP/PG DOWN keys.
To maintain a speed when using the up arrow key, press spacebar to toggle cruise control.