Unless you downloaded your copy of T:ANE from an illegal or pirate software site then you can be assured that it is not infected with a virus.
I am not familiar with Avast anti-virus software but if it has a real-time exclusion setting, where you can list those programs that Avast will not scan everytime they open a file, then add tane.exe (and any other versions of Trainz such as tr19.exe) to that list.