Moving, moving all the people...

When we speak about transport in general, we use BY + vehicle:
We went by car.
They travelled by train.
My cousins came by plane.
The same with by bus, by taxi, by boat, by ship, by bicycle, etc.
This in the equivalent of Spanish EN + tren, coche, taxi, autobús, etc.
Just like in Spanish, things change when you walk (al igual que en español, si caminas cambian las cosas): in English we don't use BY, in Spanish we don't use EN:
We are going on foot. (=a pie). By foot

Now two things where English and Spanish are not similar:

1-It is very common in English to use DRIVE and WALK instead of verb + by car/on foot:

At seven o'clock I drove to work. (Instead of I went to work by car)
He drove from London to Bristol. (Instead of he went by car from...)
How do you come to school? I walk. (=I go to school on foot)
By the way, DRIVE can also be transitive, i.e., have an object:
They drive their children to school every morning. (Instead of they take their children to school by car every morning).
This usage of WALK and DRIVE is very natural in English, but in Spanish we don't usually say conduje al trabajo, condujo de Londres a Bristol. ¿Cómo vas al cole? Camino. Conducen a sus niños al cole.

2-Use BY when you are speaking in general, when you are not talking about a particular car, train, bicycle, etc. If you use an adjective or phrase to refer to a particular vehicle, then you normally use IN for cars and ON for other forms of transport:
I went in my brother's car. (...by my brother's car)
I rode to school on my old bicycle. (...by my old bicycle)
She went on the last train. (...by the last train)
We came on the nine o'clock bus. (by the nine o'clock bus)