(1) Look at what different tiles supply and demand by moving the cursor around and pressing 'I'.
(2) Pick two cities that each have at least 2 city or 4 village tiles. Ideally, the cities should be 10-20 tiles apart.
(3) Build track between the cities (using the number pad keys with num lock on or using the mouse).
(4) Build stations at each of the cities (press F8). Make sure the station radius surrounds most of the city tiles.
(5) Build a train (press F7). Select one mail and one passenger car.
(6) Select game->game speed->fast to start the game.