General objectives of the stage: Train station is the final stage of fourth mission, Run For Your Life. This is relatively long stage and the main objective is to gain an access to the train station, so you can safely escape from the area searched by police.
You start this stage at the elevator. I definitely not recommend choosing a door located in front of the elevator (screen above), unless you play on one of the higher difficulty levels and you have Chicago policeman disguise and full Instinct bar, so you can effectively hide your identity.
A much better idea is to head to the left door. A nearby corridor is patrolled by only one cop on all difficulty levels, so it is worth to hide behind a cover. If you do not have any disguise, I definitely advise to attack him, because soon you will need one. Otherwise wait until the policeman examines this place and carefully follow him.
Note that heavily armed SWAT members appear in the building, so you have to watch out and not to fight them. They will head to the elevator and if you've chosen a suggested side corridor, then you'll completely omit them. Notice - SWAT members can expose you if you're using Chicago policeman disguise so do not forget about using Instinct when needed.
If you have such possibility, I suggest exploring the lobby, which is full of enemies. The main goal of this action is obtaining evidence shown on the above screen.
Regardless of whether you took evidence or not, head to the left building exit (the one, where SWAT team appeared at). Pass by subsequent policemen, arriving on a train platform after few moments.