John,
First - type or product # of locomotive. Second - transformer - I assume a Z-4000.
Remove the locomotive or tender shell. Place the locomotive on a test track, on rollers. Next cycle between forward-neutral-reverse-neutral. The protosound board has two relays with transistors that switch direction, one is reverse, the other forward. Listen carefully when you cycle the direction - can you hear the relays 'click'? If not, the forward transistor is defective. These transistors can be replaced if you are patient and know how. I have saved several protosound boards by doing so.
Good luck,
Bruce