Haha, this can be pretty confusing at first, but reaaly the only problem with understanding the concept is what how you deifne the word "Stationary."
I guess this is best explained by using your example above.
"Proper time" Is the time which the observer perceives. Ie the clock which is being used on the train is stationary with respect to the observer.
Think of it another way, consider that the train is staionary, and that the man on the platform is running (usain bolt style lol) instead? The relative velocity is much the same.
Overall really the man on the train can be considered stationary, and the world is moving with respect to it!
Hope this helps!