Return down the same set of stairs to the Yellow Train, and enter it. Then look on the panel in the right corner of the room to get further instructions. Enter the room and avenge him by slaughtering the four Mafioso inside.Enter into the room on the right, and turn on the power switch on the far left, labeled 2. Lead him up the same stairs you went down before he'll unlock the Subway Control Room. Nail the thug, and the cop will help you open a door.
Arm yourself with the shotgun, then walk down stairs and blow away three thugs near the track, then walk to the Personnel Only Room, and switch to the Beretta.
Walk down the hallway, and nail the thug behind the grill using Bullet Time. Walk up the stairs and ambush the two talking thugs using Bullet Time. You'll encounter two thugs, blow them away, and walk upstairs. Walk into the locker room, pick up ammo and Pain Killers and exit.
Part 1 - Chapter 1: Roscoe Street Station