Michael,
Trainz UTC is extremely old. Not just out of date, but a decade old. A lot has happened in the computer world since that version has come out. The other thing to keep in mind too is this software is no longer "technically" supported by the company (N3V) just like Windows 95 or Mac OS 7.5 is no longer supported either by their respective companies. It would also be very helpful for you and us if you can supply your machine specs such as video card, Windows version (XP, Vista, etc.), CPU and the lot.
So, having said this... What version of Windows are you using? This will help us determine if the problem is due to the program its self, or due to permissions required by your operating system. Let me explain... Any version of Windows above Vista requires that program have access rights to folders. As time has gone on, the requirements have become more strict. Now, having said this... Your version of Windows may very well be locking out UTC. It may install okay, meaning the process of writing the files to the hard drive may work, but when it comes time to putting in CD-Keys and saving files, the process will fail due to not having the permission to write to the disk.
Knowing your video card and CPU is helpful for supporting the more recent versions of Trainz. The Intel Graphics chipset for example, is great for browsing the web, but definitely isn't supported by Trainz. If you have this chipset, this would make things difficult for us and you to upgrade. Anyway, I have a feeling that upgrading to at least TS2010 would be the answer to your to problem as that would definitely bypass this issue. This is of course barring any technical problems as mentioned above. Now, I'm not saying that you must upgrade, but it would be in your best interest to get the most out of this hobby.
John