In 1993 Transport Tycoon was released, and in '95 the Deluxe version (also known just as 'TTD')
But with the release of XP, hardly anyone could run this game anymore. Well there is a way, but with the coming of OpenTranportTycoonDeluxe it's not only simpler to run it under XP, it also has some added features.
But you'll need Transport Tycoon Deluxe, which can be downloaded from here, as OpenTTD needs some of the files
(Note it says on that page you need the TTDPatch to run under newer Windows versions, ignore that, that was the way I was talking about, but OpenTTD already has this covered)
Then you need OpenTTD itself, the insallter can be found here
You might want to have a read tru the installation FAQ, but if you just install TTD first and then OpenTTD, everything should work fine.
And if you're absolutely new to the game, you might want to have a look on the Newbies page
Have fun
