The auxiliary verb, 'do' is used to form the negative and interrogative form of the simple present/ past tense. (Example: Do you know?) It is used to emphasize the affirmative nature of a statement. (Example: You do look weak). It is also used in the imperative to make a request more persuasive. (Example: Do be quiet). The given sentence does not fall under any of the above categories. Hence, the options A and B (which are forms of the auxiliary verb 'do') are incorrect.
The auxiliary verb, 'have' is used to form the perfect tense.The word, 'arrived' is the present participle form of the verb, 'arrive'. Hence, this sentence is in the present perfect tense. Hence, the answer is either-'have' or 'has'.
If the subject is in the third person singular form, the auxiliary verb, 'has' is used. Otherwise, the auxiliary verb, 'have' is used. Here the subject is 'The train', which is in the third person, singular form. Hence, 'have' cannot be used and 'has' is the suitable verb. Hence, option C is incorrect and Option D is correct.