First of all, I can advise you to use the Patch, and not plain TT. Besides, you need TTDPatch to be able to run on Windows 2000 and XP. Well, I'll explain everything in steps.
- Get a copy from Transport Tycoon Deluxe Windows version. First try to get a legal copy of this game. Perhaps you can buy one second hand on trading websites or in the sales box of a computer store. The 'Tycoon Collection' by Hasbro, which some stores still sell, includes a copy of Transport Tycoon Deluxe Windows. If you really can't find any copy of the game, you can find a list of download locations at a topic in the General TT Forum. A link you can use is http://download.transporttycoon.net/files/ttd-win.zip for example. If you prefer you can also use the DOS version of Transport Tycoon, but it seems people prefer the Windows Version. (Most probably you need the DOS version if you DOS only (without Windows). You will need the Windows version for Windows 2000 and XP, the DOS version will not run on these operating systems.
- Install Transport Tycoon Deluxe, which I will now refer to as 'TTD'. Most likely this is a compressed file, such as a zip file. Windows XP can extract those files itself, if it won't work, you'll need some decompressor such as WinZip. You can most probably find a demo on the Internet. Once you unzipped the file, you should run the setup.exe file. The installation is pretty easy.
- Download the latest Patch from http://www.ttdpatch.net/src . There will be a link to the files latest.zip and latestw.zip. Be sure to download the Windows version (latestw.zip) if you have the windows version of TTD. Download the DOS version (latest.zip) if you have the DOS version of TTD.
- Install the Patch. Extract the zip file and copy all files in the main directory of the installed files of TTD. You should now be able to run ttdpatchw.exe (Windows version) or ttdpatch.exe (DOS version).
If you extracted the game but cannot install it (sometimes due to instalation process not working on XP) you can use TTD Registry Editor (TTDRE)
Download TTDRE, run it, then select TTD directory, TTDRE should recognize or/and ask you about which language version you would like to install (American,English,German,...), after that select some more options you want (Fullscreen,MousePointer,MusicDriver) and press SAVE button.
If you have any problems please press FAQ/Help button
Besides, I can advise you to install some new graphics for the patch. This is explained in this topic.
EDIT by Purno: Something added about the Registry Editor, credits go to Shadow-XIII for that.
EDIT (14-06-2006) by Purno: Updated link to TTDRE.