Does anybody know where I could find a sound of a steam train?

Try here on Soundsnap

If you have a recorder, and happen to be passing through the St. Louis Zoo, there is a wonderful little steam train that chugs along at regular intervals. All Aboard!

steam engines [type in steam engine on the search window and you will get a bunch of field recordings] on freesound.org
One has train coming closer, passing close, then going away.
One has train leaving station
There are at least 6 here on this page

From Rocky Mountain Rail Society

Sounddogs.com.

Right click on the link and select “Save” or “Save Target” to download for free.

You’ll find almost any sound you can think of at this link: http://www.freesound.org/searchText.php

Phonezoo.com – It sends the sound directly to your phone…. for free!