Dwarven Express is a train that travels across colonies and collects gifts — it's faster than going there by airship!
To get Dwarven Express for your estate, you need to make the colony in Old Lighthouse and complete the 'Dwarven Express' mission. Place the train engine on your land. If you click it, you'll see the lands where you can build the railway.
Start with Old Lighthouse and work on one land at a time. New lands are added to the game regularly.
If you go to the colony with the railway, you'll see a brand new railway station building there. Click it to start laying the first tracks in one of the three stations. Once all three are done, you can collect gifts from that land via Dwarven Express — nice and easy.