The 10 hole diatonic harmonica, also known as "harp, blues harp, short harp, french harp, mouth organ, tin sandwich, missisippi saxophone" and lots of other affectionate names, is called "diatonic" because the first 4 holes (holes 1 thru 4) are set up to play chords, both blow and draw. There is not a complete musical scale in the first 4 holes unless you use a bending technique to add in the missing note.
However, this tuning (also known as "Richter" tuning) gives you the ability to play both the melody of a song and also accompany yourself. This is the absolute bedrock technique of blues harmonica playing, made most famous by playing train imitations.
Hold the harmonica comfortably in both hands: How to Hold A Diatonic Harmonica If you don't want to hold to harmonica in your hands or are not able, then playing harmonica with a harmonica rack or harmonica "holder" is a great alternative.
To play a train song, first you need to imitate the "chug chug" sound of the train wheels. You can do this by a simple BLOW BLOW DRAW DRAW pattern on the first 4 holes of the harmonica.
Next, you need to add the sound of the train whistle, by drawing in at holes 3,4,5
Then, to give that accompaniment+melody(so to speak) effect, you need to practice enough so that you can go from the train "wheels" to the train "whistle" without missing a beat.