Tip: Make sure you go to New Scenario and select Tutorial if you've never played a Railroad Tycoon game before.
Tip: After the Tutorial, try out the Sandbox mode to get a feel for building railroads. This mode is fun, because it doesn't have the restrictions of finances.
Tip: Once you have the feel of the controls, try out the Campaign mode, going in order (the first few are easy).
Tip: If you're not into the heavy financial aspect of the game, but still want to play at a realistic level, assign a chairman to oversee finances while you focus on building and maintaining the railroads.