On this page of our guide to Uncharted 2: Among Thieves you will find a detailed description of secrets and collectibles available in Chapter 1 - A Rock and a Hard Place. Our step-by-step walkthrough explains how to find all secrets hidden in the first chapter of the main campaign.
The first secret was hidden near a tree. It's not far from the spot where you wake up after getting out of the train cars that have fallen into the abyss (first tree on the right).
The second secret was hidden near the spot where you'll come across the first weapon.
Another one is nearby, when you get out of the train car - where you'll have to destroy the padlock. It's hidden in the corpse of one of the bandits that is hanging over the passage.
At some point, you'll be forced to climb up the wooden crates, in order to get to the top of a railroad car. When you are on top, before you jump on the adjacent train car, jump down onto the green container. Next to it, in the snow, there's the item you're looking for.
The last treasure is just before the end of the chapter. As soon as you wake up from a cutscene in which you're alone with a new female character, you'll be forced to jump towards the adjacent railcar. Drake has to grab and hang on a yellow pipe over there. Use the pipe to get to the wagon and before moving ahead - turn around and next to the entrance (or more precisely behind it) you'll find what you're looking for.