I had to do the patching process for TS2009 myself a few days ago - the service packs will need to be installed in order.
Just out of interest, which edition (UK,US,AU(Auran version),etc) of TS2009 are you running? If it is not the auran version, you may need to download SP1 from the website of the company who distributed it (for me, this was Just Trains). If it is the auran version, it may be worth a look on the
http://ts2009.com website (under service packs)
During installation of SP1, it will ask where Trainz is kept (as you have probably noticed) - further service packs will make use of the information from the SP1 install.
You will need to select the folder where Trainz.exe is kept (in TS2009, there are 2 copies of Trainz.exe - one is the launcher, and the other is the actual program) - mine was in C:\Program Files (x86)\TrainzSimulator2009 - yours will probably vary from that slightly.
If a File Open box appears, you will need to select the Trainz.exe file (which will be in a similar or same place as specified above) - you will need to select it, then click Open. (It is essential that you select the one in the Trainz installation folder, not the one in Bin). Once done, it will flash up more messages, then you may need to click Apply Update. (It could take from 30 minutes - 1 hour+ to do the patch)
Shane