I have experienced exactly the same symptoms – after a lengthy period of not using Trainz2006, I installed it and have no driver icon on the bottom left of the screen… after fiddling for a day, I un-installed and reinstalled it from my disks, and confirmed all was well. I was happy until I then installed the service pack, and durn.. the problem came back.
I then searched the forum and found this thread. I have tried all the suggested remedies here, with no success, so have un-installed and am re-installing again (all 5 disks), and will avoid installing the service pack – I think that introduced the problem.
I am operating Windows 7 now, maybe that is a factor? I did get a file error when running the service pack install, but did not record the details.
Any suggestions anyone?