Piston Animation

In addition to Rick's suggestions such stuff can typically also be found under the subject of "targeting expressions". Just keep in mind that it's just as much about setting up all the structures with the parenting and extra "targets" to make this work.

Mylenium

Try starting with some expression help from Dan Ebberts. Here's how to control the speed of the wheel: http://motionscript.com/articles/speed-control.html

This will get you started. with the inverse kinematics required to make the steam engine work. : http://motionscript.com/design-guide/ik.html

You'll need both. I don't have time to go into detail but Dan's expressions are the key to making the steam engine work properly. It's all a matter of correctly rigging each element. If I get any time tomorrow afternoon I'll try and help some more.