No, the tiny area of glass the fly hits is what takes the impact, therefore because it isn't 100% rigid, that particular area of glass bends back a little. Then, the shockwaves as it 'springs' back into place and a little too far forward (Because of the way it springs back it doesn't just go back to normal, obviously) mean that it's technically going faster than the train.
So in answer to the question: Yes, a fly can stop a tiny, tiny amount of glass on the very front of the train (assuming it hits the window. Exchange "glass" for "metal" if you mean the other part), but not the actual train itself.