James Bond tricks "Red" into setting off a booby trap in his secret bag of weapons and then kills him! Bond and Romanova steal the tape of their night together and flee on the train, using "Red"'s prepared contingency-plan for escaping! They evade several attacks by the criminal organization and eventually reach safety.
There's a slightly confusing sequence where the criminal organization learns of "Red"'s failure and death, and their enigmatic leader has one of the other characters executed for the failure. The organization has already promised to sell 'Russia' the cryptography device, so another agent is ordered to kill Bond and retrieve it!
Said agent finds Bond and Romanova while they're recovering in a hotel! He sneaks into their room disguised as a servant and then orders Romanova to leave the room while he holds Bond captive at gunpoint!
However! Romanova dives back in and tackles the agent to the ground! In the ensuing struggle she grabs his gun and shoots and kills him!
Their mission now accomplished, James Bond and Romanova spend some time on a romantic boat ride together. Bond is shown tossing the recording of their night together into the water.