Close-up 1:

The front face of the train was created in its own file. The reflections in the windows were added once the train was placed in position within the overall image.
The side of the train car was created in a separate file. Duplicating that file made it easy to add additional cars.
The duplicates required changing the reflections in the windows, the accumulated grime and the car numbers to make each car appear different.

Close-up 2:

Symbols, text and logos were created in Adobe Illustrator.

Close-up 3:

The grime was created with Spatter brushes, available within the Photoshop brushes palette, which were modified to randomize the effect.
The rust was created with the same Spatter brushes but with Color Dynamics applied. The rust was in a separate layer that was also given a layer style of Inner Shadow to add the dimensional effect of the rust appearing under peeled paint.