There's a save point along the rails, and on the top of one of the slopes, you can find a chest with a W Machine Gun (weapon for Barret). If you fall, you can guide Cloud by pressing and and tapping ← and → and tapping Enter.
The instructions on the screen will tell what to do. Too bad the railroad is in a really bad shape right now. If you encounter a Bagnadrana, steal the Diamond Pin for Red XIII. You may think it's a good time to start exploring now and see where you can get, but most of the monsters in this area will be pretty hard to kill, so for now, follow the tracks leading down. Press onward, and once you go over that top of the trail, you end up in a big Mako reactor. Once you reach mountains through the zig-zagging paths, you'll end up in a place where a man is resting in a tunnel of sorts. There's really only one way to follow after you leave Costa del Sol.