Lester will call you after finishing both Military Hardware and Predator, and tell you that you should be able to start the heist, which is marked with "H" on your map. Once the actual mission starts, get in the van and head to the first objective to drop Franklin off, then go to the bank next.
When you're ready, head through the front doors of the bank with your weapon aimed at the people inside. You start as Michael, so go to the vault when told to kick the door open and watch the money start rolling in. After Trevor alerts the cops outside, you switch to him, so head to the vault.
The next time you gain control, you'll be in pretty nice armor and equipped with a Minigun, so start taking out all of the cops in the vicinity. Note you are not invincible here, but your damage is mitigated somewhat that you won't die in four shots from the police. Keep blasting the police, including the helicopter that shows up, then follow your friends across the street.
Shoot down the fence straight ahead, then continue shooting the cops. In the next area, some tougher enemies will appear, SWAT, so keep on fighting and following the others. When you see the Cargobob show up, go to the right and now the army will make an appearance. At first, it's just soldiers in jeeps, but they bring in a tank soon enough.
Soon after seeing the military flying in a tank, the game will switch to Franklin, who is driving a HVY Dozer. Follow the path set out for your, going straight through the enemies, noting that you're not invincible in the Dozer, although you're not going to get hit too often. Once you get to the others, head to the factory with tanks after you (they don't seem to be aiming straight at you for some reason).
Once you get to the factory, you'll all head inside. You need to go from room to room, killing the army that show up, and eventually make your way to the railway platform. There's nothing out of the ordinary here until you get to the platform, where you will need to make a last stand until the train arrives. When it does, go towards it to automatically jump on it. The mission will end after the cutscene.