Hi there bit of thread necromancy but if anyone has 64bit windows and has this issue just load up the runme! file and change the line:
[HKEY_LOCAL_MACHINE\SOFTWARE\FISH Technology Group\Transport Tycoon Deluxe]
To:
[HKEY_LOCAL_MACHINE\SOFTWARE\Wow6432Node\FISH Technology Group\Transport Tycoon Deluxe]
Save then run, then restart pc. This will save the reg keys in the right place for 32bit.
I also had to download dplay.dll, this exact version from here:
http://www.dllguru.com/dplay.dll.html
put that in the folder.
Also right click properties and set the compatibility mode to windows xp SP3