Bellagio is not on a railway line. probably the best way is to take the train from Milan to Como (check www.trenitalia.it English version for train times). Then there is an excellent ferry service around the Lake which will take you to Bellagio. Alternatively there is a bus service from Como to Bellagio but I have never used it and always relied on the ferries.
My wife and I had an excellent week staying at the Hotel Du Lac in Bellagio, on the waterfront immediately opposite the ferry landing stage. We greatly enjoyed voyaging round the Lake visiting the interesting villages found on it shores.