After getting off the train, go to your left and enter the bathroom. You will then see a dead officer and Max will take out his gun. Two thugs will walk to the platform and have a light conversation with one another. Shoot both of them (one will fall down in dramatic slow-motion) and take their guns.
Next, go through the now accessable gate and you'll encounter Jake and Mickey, who have just killed a cop. Kill both of them with your Dual Berretas (diving in slow-motion helps) and continue. To your left will be another thug. Simply take out your Desert Eagle and shoot him a few times. Go down the stairs and turn left, where you will hear another thug either whistling or coughing violently. Take him out, but be careful; he has a shotgun.
After he dies, walk through the door that's ajar to continue to the next section of the chapter.