Have you entered your username and password in the Trainz Options box? The reason I ask is because TS12 isn't appearing next to your username (you may need to contact Helpdesk to get them to add the icon next to your name). If that version comes with a CD Key (serial number) then that will need to be entered by going into MyTrainz followed by Serial Number then filling in the form.
I'd also recommend checking that your firewall isn't blocking Trainz or any of it's components.
Shane