First of all, we need to understand the purpose of a steering system. Steering is provided in a road vehicle in order to control the direction while it is free to move in any direction (within 180 degrees). There is no fixed path for the wheels to move and they're pretty much flat (horizontally).
On the other hand, in case of railways, the wheels are "flanged". Flange is provided on wheels so as to prevent the vehicle from slipping off the rails. Reasons for providing flanges :-
1. Area of contact between wheel...
more...

and rail is very less.
2. Rail-head is elevated in comparison to sleeper and ballasts unlike road, where it is more or less uniform.
3. To provide resistance to the action of forces, especially centrifugal forces.
So, the flanges on the wheels provide structural support to the vehicle while rolling on the rails. Due to the presence of flanges, the wheels have a constrained (fixed) path.
How a train changes tracks : A train changes tracks because of the presence of switches. This is how a railroad switch works : click here
If you're wondering what is the "steering wheel" stuff you're getting to see inside a conventional loco such as a WAP4, it is nothing but a 32-notch wheel (meant for accelerating the train).
Hope that clarifies! :)