It's a russian train surfing, here the quote from wikipedia:
Train surfers began to organize meetings and big-way surfing events on outside of commuter, subway and local freight trains via the Internet. Russian train surfing fans began to call themselves as "Zatsepers"(from the Russian word "Зацепиться-Zatsepitsya" translated as "to catch on"). The train surfing became a something like extreme sport discipline for them. Russian train surfers also name their popular hobby "Zatseping". From the beginning of 2011, Russian train surfers made a several rides on outside of a high-speed Siemens Velaro train "Sapsan", the fastest train in Russia. In 2011, over 100 people were killed or seriously injured in Russia because of train surfing or climbing on roofs of standing trains too close to overhead catenary wires; a few dozen children train surfers were killed.
It's not legal, of course