One of these two files should be available in the installation directory you copied over. It is important you use this exe and not one on the CD as that will fail. The setup.exe is not compatible with 64 bit operating systems and must be run on a 32bit or lower operating system. If you happen encounter this error the only known solution is pretty low tech and tedious: \setup.exe cannot start or run due to incompatibility with 64-bit versions of Windows' The most common problem with running Railroad Tycoon 2 on Windows 7 is a compatibility error when trying to run the setup from disk. Railroad Tycoon 2 has a few known issues with running on Windows 7 especially 64bit.
Tested: windows 7 32 bit, windows 7 64 bit, windows vista 32 bit, windows vista 64 bit