I had the same problem, i.e. the Railraod Tycoon 2 installer crashing
under Windows XP (SP2). After some poking around I found a solution
that worked for me:
1. Check if the file c:\windows\system32\autoexec.nt exists. If not,
search the hard drive for it and copy it to the c:\windows\system32\
directory.
2. Do the same for config.nt.
The Microsoft KB article that lead me in this direction is here:
http://support.microsoft.com/kb/305521
Good luck!
/Martin