After the Cooper Gang was broken out of jail by Carmelita and Tennessee, they needed to get the keys to Toothpick's train tracks so they would be able to sneak aboard his train while it was leaving town, otherwise they would never catch up to it and Toothpick would get away with the stolen gold and the Cooper Van.
First, Murray had to go to the annual Toothpick Brawl-athon and defeat a group of coyotes to take on the champion, "Wildman" Wheezer. After defeating the coyotes, Murray battled Wildman for the key. Despite the aid of coyotes, Wildman still lost to Murray when he was hit in the jaw by an uppercut, knocking the key from his mouth.
Next, Sly had to beat Frenchie Le Stache in the Toothpick 500—which had supposedly gotten ts name from the number of participants whom died in it—in order to obtain the second of three keys. Sly used the iron ball from his Jailbird Costume to ride all the way to the finish line, passing checkpoints in a certain amount of time. After Frenchie Le Stache was defeated by Sly, he threw a tantrum and the key fell out of his pocket and into Sly's hand.
To obtain the final key, Carmelita had to defeat the local sharpshooting champion, Red Eye Robles. Carmelita and Red Eye made a bet before the match: if Carmelita won, Red Eye had to give his trophy—wherein he kept his key—to her, but if Red Eye won, Carmelita had to kiss him. Carmelita emerged as the victor in the sharpshooting competition and Red Eye gave up his trophy, though he said he only lost because of some magic trick.
Meeting back at the hideout, the gang gave the keys to Bentley so he could change the train's route and send it their way, which would allow them to sneak aboard and stop Toothpick.
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