Learn Russian: Они едут на поезде?

In Russian, you must choose a different verb depending on whether you are walking or using transport. Because they are on a train, we use ехать (to go by vehicle). Едут is the "they" (они) form of this verb. If they were walking, you would use идут.

Why do we use the word на here? Doesn't that mean "on"?

Yes, на usually means "on", but in Russian, you always use на to say what kind of vehicle you are taking. So, "by train" is literally expressed as "on train" (на поезде).

Why is there an "е" at the end of поезде?

The basic dictionary word for "train" is поезд. When using на to talk about a mode of transport, the noun must change into the Prepositional case. For a masculine noun ending in a consonant like поезд, you form the Prepositional case by simply adding -е, making it поезде.

Why isn't there a word for "Are" at the beginning of the question?

Russian doesn't use helper words like "do" or "are" to make yes/no questions. You just take the normal statement—Они едут на поезде (They are traveling by train)—and add a question mark. When speaking, you simply raise the pitch of your voice on the word you are asking about.