Once you have the key, go to the room before the first class section. Use the key to open the silver barred door to your right. You will get weapons. Then, get on top of the train by climbing the ladder. There will be guards on top of the train. Shoot everyone and go down every ladder, as you will get swarmed by guards on top. When you go down the ladder, they come to you and you can kill them all. Once they are all dead, you can run to where you hid Blythe. Go to the jump off point and run through the door.