A UN spokesman said the train, with four or five waggons each filled with between 200 and 300 people, arrived at Djeneral Jankovic, the last station on the Yugoslav side of the border with Macedonia, on Monday morning.

Ten elderly men were allowed to get off and cross into the Former Yugoslav Republic of Macedonia - a 1.5km walk. But others were prevented from leaving the train.

UN High Commissioner for refugees Ron Redmond: "this is a case for concern"

Mr Redmond said he did not know why the Serbs did not allow people off, and was not sure about the train's new destination.

"We do not know where the train is going. We just know it is not there," he said.

According to eyewitnesses, the train was quite full when it departed Kosovo Polje, near the privincial capital of Pristina.

When it reached Urosevac, some 40km from the border, hundreds more crammed on board.

The BBC's Orla Guerin: "Those trying to come to Britain are finding it hard even to apply"

Many refugees, the eyewitnesses say, were unable to board the convoy because of overcrowding. They were left at the station.

At midday, a series of explosions were heard on the Kosovo side of the border, but no information was available about their source.

(Click here to see a map of the most recent refugee movements)

Nato spokesman Jamie Shea said up to 40,000 more refugees were reported to be trying to move to Kosovo's southern border.

"We've been tracking over the last few days two large concentrations of internally displaced persons in the general area of Junik, and since the 12 May we've been tracking up to 70,000 west of Urosevac trying to head towards the Albanian border," he said.

A look back by those who made it to safety

Nato military spokesman General Walter Jertz said the manipulation of civilian movements in Kosovo was a "deliberate strategy on the part of Belgrade to use these IDPs to complicate Nato targeting".

After a relative lull in the influx of Kosovar refugees into Macedonia over the last 10 days, many have begun arriving again at the border.

About 700 Kosovo Albanians crossed the border at Blace.

Officials from the UNHCR, who were allowed to speak to them, say some were driven from their homes by Serbian police.

Others, they say, mainly from the town of Urosevac, were prevented from buying food from shops by the Serbian authorities and so had no choice but to leave.

The BBC's Nick Childs: "Nato says it was disturbed about what happened to the train"

One woman told UN officials that her father had gone out to buy food and was later found shot dead.

The groups arriving over the past two days were the first refugees to arrive in Macedonia since the government temporarily closed the border 10 days ago saying it could not cope with mass arrivals.

After the uncertainty over the border closure, the latest arrivals said they decided to risk the journey after hearing on foreign news broadcasts that fellow refugees were being allowed through into Macedonia, many without passports.

The UNHCR believes there could be thousands more waiting inside Kosovo for their chance to escape.

They fear another large influx in the next few days.