Before you can attempt this achievement you will need to lasso, which you earn from Bonnie in the early missions. Once you do have it you can lasso and hogtie any women you desire, though there are some, which are easier than others. If you don't want to damage your fame or honor you can buy a bandana from Thieves' Land at the tailors shop.
Once you have either item you can now lasso your victim. Lasso and hogtie the lady of choice and place her on your horse. You can now make your way to the train track, check your map to see where the active train is. You will be looking for red train icon following the tracks. Head towards the train and play your victim on the tracks by pressing . Now just stand back and watch as the train plows down your victim and the achievement unlocks.