Follow
all the instructions. The opening sequence is set up so that you have to obey what they say. It's meant to force new players to read lots of
boring educational text instead of zipping through the first part of the game and then screwing up because you don't know how to use your rings or whatever. So it won't let you off if those demands aren't followed.
However, if you have faithfully obeyed every instruction given and still can't click on the arrow to get off the train, take it to
bug report forum. Check earlier threads to see if this is a common bug or unique to you. If no one has mentioned this, post it.