Holmes is explaining matters to Watson as they take the train to Dartmoor to find the missing Silver Blaze.
Granada built a train car for use in the series, planning on showing Holmes and Watson in that classic Victorian setting on several occasions.
However, they discovered that even the flattest road in Manchester (where the studios were) was so bumpy it was virtually impossible to shoot scenes. The car was used for a couple scenes, including a faithful reproduction of Paget’s famous drawing. However, they realized that it simply wasn’t going to be a workable option, so they abandoned the concept.
Of course, when the curtain is pulled aside, the illusion is dispelled. As you can see, it didn’t look like a train car from the outside. But it worked in the scene above (which was actually from The Speckled Band).
While it’s well-known that Michael Cox and the Granada folks tried to reproduce at least one Paget drawing in every episode (often recreating several), BBC Sherlock has also drawn on the original Pagets, updating them to fit the show, of course. The railway picture is one such example.