Cook in train oil? (5)
I believe the answer is:
broil
'cook' is the definition.
(I've seen this before)
'train oil?' is the wordplay.
'train' becomes 'br' (I can't explain this - if you can you should give a lot more credence to this answer).
'br'+'oil'='BROIL'
'in' acts as a link.
Can you help me to learn more?
(Other definitions for broil that I've seen before include "Be extremely hot" , "Old quarrel" , "disturbance" , "Maybe grill" , "stew" .)