This is one of my favorite old photos. The first thing one wonders is how the train ended up driving through the window, and then the second thing one wonders is what the train was doing on the second floor of the building to begin with.
The train wreck actually occurred at the Montparnasse Train Station, in Paris. The wreck was caused by a combination of the Engineer coming into the station too fast, because he was behind schedule, and a failure in the brakes of the train. The engine derailed, went across about 100 feet of the concourse, and then plunged out the window. No one on the train was killed, but one person on the street was hit by falling debris, and was killed.