The Golden Express is a bonus stage that you can access from the one green pipe just south of World 5-Castle. This pipe will bring you to another two pipes, with the northern one taking you to the spot where this bonus level appears. There’s no enemies (well, apart from a golden Koopa shell), so you shouldn’t be dying at all, unless you purposely stand still and let the automatic scrolling make you lose a life.
The goal of the Golden Express is to let you collect a whole mess of coins, letting you earn a lot of extra lives. As mentioned above, the level will automatically scroll, so you will need to keep moving. Once you reach the end, you can take the green pipe to finish the level and return to the world map.