I am assuming you are running Windows Vista or Windows 7.
What the error is basically saying is that you must run Trainz as administrator.
I can post instructions on how to do so if you are unsure.
Shane
EDIT: For the benefit of users who are unsure:
1.Right-click the Trainz shortcut, then click Properties.
2.Click Compatibility.
3.Click in the box labelled 'run this program as an administrator' to place a tick.
4.Click OK.