Thank you very much for playing (even twice)!
Yeah the communication is not really good there. You have to enter the mech right next to the train using the E Key on the Keyboard.
Then you have to destroy the nests, marked as red squares on the minimap on the upper left hand side of the screen. After defeating the boss, it will drop a crate containing the next weapon.
Afterwards you can enter the train and proceed to the next level.
We're really sorry, that this is not communicated in-game good enough. We'll work on that.