I cant tell you exactly what to do (never tried a train lol)

but its all to do with parenting each "car" to each other then the main car (root) is set to follow path *path can be same bezier you used for track

blender artists will have a few threads on thsi so have a look there

or the blender wiki has good (ish) info on all the constraints

(sorta remember "child of" is not quite the same as make parent but cant remember why so watch for that)

 

"instead of just one object (which I also fail to achieve)."

always make sure you have done apply rot/scale (object mode ctrl+A)