This mission can be gotten at Trevor's place and unlocks immediately after finishing The Paleto Score. This time, Trevor and Michael are going after a train and you begin playing as Trevor. Hop on the bike and head towards the train's location. When you get to a dirt path, follow it up and onto the train tracks.
Follow the tracks and the train, until you spot a path to the right. Take it to a jump that should land you on top of the train, but if you miss, there will be more opportunities to get on top. Once you make it on top, keep the gas pressed and don't make too sudden of movements, or you're likely to fall off.
You need to make your way to the engine car of the train, where Trevor will board it and take over. Drive the train until you are switched to Michael, who needs to drive the boat to the designated spot. When you get close, it will be raining train cars and a certain friend of yours. After regaining control, switch to the Sticky Bombs and head to the orange car.
Toss one of the Sticky Bombs onto the rear door and detonate it to make it open. You'll switch back to Trevor now and will need to fight off the Merryweather guys, while Michael gets some goods. At first, there will be some boats with two men each, then two helicopters. After that, there will be four snipers on the bridge above.
You should have a sniper rifle with a thermal scope attached, so you can use that to get the snipers. Lastly, there will be another helicopter and two guys parachuting in. Once those are dead, Michael will find something and bring the boat over to you, so jump in and sit down.
For this next part, you can control either Michael or Trevor, with Michael driving and Trevor shooting at the Merryweather guys chasing you. If you stick with Trevor, you'll encounter mostly boats, with a helicopter towards the end. Once you reach the open sea, you're in the clear, so drive to the marked beach to finish the mission.