The first four scenes of The Great Train Robbery build the film's story and engage the audience in the following ways: 1) They clearly establish the outline of the film's plot in a chronological order to help the audience understand what is happening. 2) They progressively intensify the story and the audience's mood as the scenes change, building anticipation for the climax. 3) This progression keeps the audience engaged and wanting to see how the story concludes, building excitement for the ending.