Two warnings, Mr. Chairman-
First, the SP2 patch, and reportedly SP3 as well, can take many hours to apply. I recommend doing them at the end of the evening, letting your computer run overnight. Some say doing an Extended Database Repair after applying SP2 and SP3 might be helpful.
Also, and I don't know if this was fixed in SP3, but I've had problems with my video resolution in Trainz (1280x1024) randomly resizing down to that of my desktop (800x600), making it look like I've zoomed in on a corner of the screen. Although Shane's advice with the height and width settings are said to help for some, that trick didn't work for me. As a result, I have to manually set my screen resolution to that of Trainz every time I want to play.