It depends which version of Windows you're talking about. I run Trainz 2010 under Windows XP Service Pack 3 with very few problems (the only issues I get occasionally aren't Windows caused, but bugs in Trainz itself).
I have no experience with Win 7 though, but I've heard one thing to watch out for when installing and running 2010 in Win 7 is basically having to set every utility and function in the software to 'Run as Administrator', as I've seen numerous threads on the subject here given the same reply.
But as I said, I use it with XP with little problem so I see no trouble running it under Win 7 either.
EDIT: stupid me didn't notice the '7' next to 'Windows' in your post - I only read it as 'Windows', hence my long-winded post. So ignore the first part of my post (the rest is still relevant though).