Tried with UAC disabled? Shouldn't make any difference however may be worth a try.
The folders Tony is on about should resemble the screenshot below, first patch would create the Patch Installer folder, subsequent and failed patches the xxxxxxx_Patch Installer folders. From past experience failed patches produce a new folder for each failed patch a well as successful ones. If that's not happening then something is blocking write access. Probably unrelated in your case however I've had that happen when moving a disk with TANE on to another PC which refused to patch, taking ownership of the drive solved the problem.
Only other thing I can think of is if you have installed it in say C:\Trainz Railroad Simulator and writing to C:\ is blocked? Seem to remember an issue with that when doing a bios flash, wouldn't let me save the bin file to C:\ was quite happy to put on D:\ though. Never had these annoyances with Win7.......
Maybe create a Trainz folder and copy/move the TRS19 folder into it then try patching.