try the metrolink, amtrak, or greyhound

(An earlier answer is actually simplest. Bart to Millbrae train)

Or go to the Daly City Bart Station and catch a Samtrans to Redwood City. You might need to transfer somewhere along the route but check with driver. Or call Samtrans.

http://www.samtrans.com/
http://www.samtrans.com/pdf/Maps/Route_390_10-10-05_MAP.pdf
http://www.bart.gov/stations/map/systemMap.asp

There is no train station in Daly City
http://www.caltrain.com/caltrain_station_list.html

If you really want to ride a train from the end of the line, catch the BART from Daly City into San Francisco and get off at the Powell Station. Go up on the street level and catch the #30 Stockton (Have $1.50 cash for fare box when you get on the bus at either Stockton St./ or on 4th St. going south, street name changes after it crosses Market St.) to the train station. Buy the ticket at the train station window. The train will take you all the way to Redwood City and beyond to San Jose, if you prefer.
http://www.sfmta.com/cms/mmaps/documents/30.pdf