Important question - are you running Windows Vista or 7 instead of an earlier version (XP etc)?
If the answer to this is yes, Trainz needs to be installed and run as an administrator (Windows Vista/Windows 7 should install it as administrator, but you will need to explicitly tell Windows to run Trainz as Administrator.
To do this, right click the Trainz shortcut, then choose Properties. Click the Compability tab, then tick the box at the bottom labelled 'Run this program as an administrator' (If the Compatibility tab is not visible, click the Advanced button on the Shortcut tab, then tick the run as administrator box.
If you are not running Windows Vista or Windows 7, Trainz may need re-installing (also make sure Trainz is running on a computer administrator account not a limited account)
Shane