You cannot include non-aggregated columns in your result set which are not grouped. If a train has only one destination, then just add the destination column to your group by clause, otherwise you need to rethink your query.
Try:
SELECT t.Train, t.Dest, r.MaxTime
FROM (
SELECT Train, MAX(Time) as MaxTime
FROM TrainTable
GROUP BY Train
) r
INNER JOIN TrainTable t
ON t.Train = r.Train AND t.Time = r.MaxTime