At first go this fight may seem somewhat overwhelming, but with the right strategy you will have this flying, headless bug eating out of your hand. First off, be careful getting there, this stage is loaded with snipers that can easily kill you, depending on the difficulty level. Once the battle starts, have one guy go collect all of the VS rocket ammo he can. While he is doing this, you try to grab some Gatling gun ammo and run over to the VS and just use it as a turret on the ground (along the wall to the right of the train).
Basically, your friend concentrates on blasting him with rockets while you, sit on the turret and picks him apart. On the turret, one of your weapons has unlimited ammo, this should be firing at all times. It does weak damage, but never runs out! Use your Gatling gun a bit more sparingly. Pay close attention to when he flies on top of the building to the turret's right side. This is a good opportunity to do some good up close damage. Your turret will take all the damage, if it gets low just jump out and do some quick repairs.
Word of warning, don't be fooled by his first death, he comes back after you drain his initial health!
The video below was done on hard but the same strategy applies to Extreme.