Are you talking about when you have to (SPOILER)jump off the train because of the ID checkmark in disc 1? I'm pretty sure this is what you are referring to because (SPOILER)when you go there in disc 3, I don't think the door is there. Basically, it's a chance for you to level up your characters. As far as I know, there is no way to go through that door after jumping off the train. I wonder if there's ever been some sort of rumor involving that door......like if you kill 200 soldiers from there, you can get some ultimate weapon or something.....d'oh well......just thinking out loud.