To Create the Molotov Cocktail you need to Combine in the inventory screen, Empty Bottles with a Gas Tank.
The first empty bottles are in the train, more precisely in the kitchen they are in the freezer that releases a zombie, the first Gas Tank is in the Kennel at the rear of the train in the last room before the outside rear carriage where the Hookshot is found.
There are other locations in the game where both Empty Bottles and Gas tanks are located but the above mentioned are the earliest.