To Stop the Train (and get the Huge Materia and Ultima Materia)
You only need to input 3 button combinations. The proper combinations, in order, are:
Up + Triangle, Down + X, Down + X.
To Get onto the Second Train
If you are having trouble speeding up the first train in order to catch the second, you simply have to alternate pressing Up and Triangle. So, press Up, Triangle, Up, Triangle, Up, Triangle, etc.
If you want more complete details on the possible outcomes on the train, go here and search for this text "{32} The Huge Materia: Corel and Fort Condor"
If you are in the Highwind, talk to Cid to take you into the mini-map so you can fly around. If you're outside, I believe you just press the O button on a piece of landable flat land.
Best Answer
Reach the top of the area and "exit" north, then south, then north, then south... until a scene happens, offering you to return to the world map.