If it is installing okay, but you can't run gmax, try deleting the gmax.ini and PlugIn.ini files from the main Gmax folder (it will rebuild them on start up) as corrupted *,ini files are frequently the cause of gmax failing to start!
On the first start up, gmax will ask you to register
For Trainzers, you will also need the Trainz Plug In obtainable from: