What's your system specs?
My guess is that you are running Windows Vista or Windows 7.
If this is correct, you need to make sure you are running Trainz as admin.
To do this:
1.Right-click the Trainz shortcut on the Desktop.
2.Click Properties.
3.Click Compatibility.
4.Click in the box marked 'run this program as an administrator'
5.Click OK.
If this does not work:
6.Right-click the Trainz shortcut, then click Properties.
7.Click the Shortcut tab (if not already selected) then click Find Target/Open File Location (the name of the button varies by Windows version)
8.For each program file in the folder that appears in the folder that appearsand in the Bin folder, you will need to repeat steps 1-5 above (subsituting 'Trainz shortcut on desktop' for the program file you are setting to run as admin) - The ones you need to set include trainz.exe and all program/application files in the Bin folder)
Shane