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Diego is leavin gin his own private train, so Red has to follow him and find a way to stop the train.
This chapter is quite fun, and pictures and videos of this chapter are always used to advertise the game.
This is not a difficult chapter, but does take some good aiming at times.
When you start, shoot the guys when they pop out, or just ride ahead and jump on the train and shoot them there. After that, jump on the traincar, avoid the machine gun and go shoot the switch. Jump back on the traincar and down, shoot the man operating the machine gun ahead and jump on your horse. Again shoot the next batch of people popping out, ride ahead and shoot the switch to open the door. Jump in and kill the soldier and again shoot the switch. Jump back on your horse and go use the machine gun you now have available. Shoot the train, occasionally some soldiers and again the train, and you're done.