It means to point them at the target. It originally referred to the guns of a warship, "the destroyer trained her guns on the submarine", but is sometimes used for other guns, "the policemen trained their guns on the suspect". It could be used figuratively, to mean give close, possibly hostile, attention to something.
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The term "train" in reference to a gun comes from large cannons, which were often supported by wheels which road by a single circle of railroad rail. Sometimes other types of rail were used, but the similarity to the wheels and rail of a railroad train was still there. The gun was steered to the target (trained) by rotating it along the track. This name continues to be used for what is more of