Spyke20

When you start the mission, keep going forward until you fall in front of a door.
Enter the door, then take the right path until you are a little exposed to the light or you can always whistle using the L2 button.
The guard should notice something and start heading to your position.
When this happens, turn back, then when the guard reaches the position you were and turns his back on you, grab, interrogate and knock him, and pick up the satchel containing a data stick.
Now, for getting under the train, walk until you are in front of the door that leads to the room where the guard was, but don't enter, instead of that, turn right and you sould see the option "Climb Down", accept it and there you are!