The basic (1.01) version of this excellent program will not run under Windows XP. It produces an error message about Windows NT, and no fiddling with the compatibility options will help. However, a patch is available.
This is patch 1.05 - file rt2_105b.exe. Unfortunately the authors, bless their little cotton socks, have taken it off their site.
If you want it unofficially, it's at RailroadTycoon_2_105b.exe
The good news is that it can be found officially at
http://www.fileplanet.com/51596/50000/fileinfo/RT2-v1.05-Patch-PC-Version
The bad news is that you'll have to pay a months subscription (about $9.00).
