Thank you so much, Gray.

As Nathan says, you should use either "in the" or just "this." Don't use "in this." To describe something that happens at a certain time of day, you can say "in the morning/in the afternoon/in the evening." If it's happening today, you can also say "this morning/this afternoon/this evening."

Thanks

"My train is this afternoon" is correct but fairly casual. If you want to use "in" you could say "My train is in the afternoon." That would be slightly more proper.