The game starts you out in the middle of a cut scene before dropping you right into the action. The climb up the outside and inside of the train car will begin to introduce the controls of the game, and interspersed with your progress, will be cut scene flashbacks to the beginning of the story. You can really only go one way, so just go where the game leads you and follow the on-screen instructions.
Get off the train[edit]
You wake up in a train seat with a wound in your stomach and blood everywhere. You appear to be in a train car in the snowy mountains, halfway hanging over a ledge. Control begins when you fall out the back and catch a rail. Move left to get around to the back of the train. Climb up right side of undercarriage and jump the first gap you come to with 
, then climb the pipe. Take a left at top of the pipe to the other side, and follow that pipe up. When it breaks, hold 
to swing, then when you're close to the train to jump over to it.
Move left around side of train, then climb in through the opening into the train. Press forward and jump to the seat back inside. Keep jumping up the seats until you're standing, then make sure you're pushing to the next seat or you'll fall down to the bottom and have to climb back up. Outside train again, move right around the train and take the pipe up. When the pipe breaks, you only have a limited amount of time to press 
and jump to the ledge. On the ledge, climb up onto the top of the train car, then jump up to the ladder to the next train car. Once you enter the train, the train will begin to slip off the cliff, and you'll have a limited amount of time to run through the car and jump out the other side.
Through the wreckage[edit]
After a cut scene where you'll meet Flynn and Chloe and get introduced to the Marco Polo job, you'll be back in control of Drake in the mountains. Head right toward the glinting light in the snow for the first treasure, the 001Wrathful Deity Statue. Head through the gap just left of the burning tree, then go straight forward and squeeze between the pipes at the end. Don't worry about the arcing power line, it can't reach you. Approach the dead body and pick up the gun with 
, then go beyond him and pick up the 002Saraswati Statue. Next to the body, get close to the sliding door and press again to open it. Enter the car and move through it, jumping the wooden gate and picking up the extra ammo if you've fired your weapon. A the end is a chained door. Shoot the lock by aiming with 
and pressing 
to fire. Now you can open the door. Before stepping out, aim outside up above you and shoot the body there once to reveal a treasure glint, and again to drop him down. You'll get the 003Tibetan Snuff Bottle.
Head to the right to find a guard around the corner. You can engage him, or just wait for the car behind him to explode, taking him out. Keep moving past him, then kick the metal door open with . Jump up the wooden crates in front of you, then scale the small ledges on the wall above them. At the top, jump over to the train below you, then jump off the rear platform behind you. Keep going in that direction off the metal crate and into the snow to find the 004Bhutanese Lime Box. Jump back up the way you came, then go through the train car. At the far end, jump above the door then up out the top of the roof.
After another cut scene, move around to wake up. Jump out the gap by the flashing yellow light to the pipe attached to the other train. Climb right, down under the train car, then climb up and go back the opposite way you're facing along the ledge on the right. You'll find the 005Ghau Amulet Thogchag in some bedding. Go back the other way, through the train until it dumps you out on the snow. Walk up the hillside to retrieve an ornate dagger in a cut scene.