Your Eurail Pass is only valid for train after it is validated. Once you have arrived in Europe, you need to validate your Eurail Pass at a ticket window at a larger train station. This means that a railway official fills in the first and last day of validity, as well as your passport number, and stamps the Pass so it becomes valid.
See also the page Conditions of Use, which contains a short movie about validation.
Validation is only possible at train stations in the countries which participate in Eurail. When you travel by train from a non-Eurail country, it is possible to have your Pass validated in the train by train staff when you enter Eurail territory.
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