On the train, go to Reindeer. Somebody at the station will give you Ana's hat. You don't actually need anything else in Reindeer, so go straight to Snowman. Be warned, the enemies in Snowman are very tough the first time you come across them. USE the hat while standing adjacent to Ana, and she'll join you. Now you'll probably need to use the Onyx Hook to get out with everyone alive, and you need to buy her armor anyway. When you get to Merrysville (Thanksgiving), buy her a boomerang.
A ghost house?
Note: the Japanese version and prototype English version have a different layout for this area.