I watched this anime 10 years ago or more, and I missed the ending. During my childhood, this is one of my favorites.
The anime started with a little boy and his little sister riding a train at midnight to search for their lost parents. They met a girl in the train who rode the train to unlock the mystery of the train, and she also revealed that the train only appeared at midnight. The siblings told her they were in search of their parents who were scientist and was lost during the blast a year ago.
Their journey began when the train sent them into another dimension or world, where they met a man who possessed a gun with bullets of different type of effect (like fire, ice, water, air, etc.). Eventually, the man joined them in their search for the children's parent and sent them home too.
I guess that's a lot. Hope someone knows. Thank you :)