Okay so I have been going crazy, for a few years, trying to think about this scene. I am not sure where it is from.

It is an animation.

A rich woman full of regrets is on a train going somewhere, as she stares at something in a train coach full of furniture and stuff. She does something or a candle falls (i am not sure what exactly happens but it is dangerous) – she allows it to happen. She mournfully leaves the coach as the camera pans onto the outside of the train and the train explodes.

The music is gorgeous and classical. The feeling is kind of dark. I think it was made in late 90s, but I am not sure. At least that is when I saw it. It has animation kind of like Anastasia. With similar elegant effects.