First, press new game on the main screen. Generate a new temperate map. Now, the most profitable goods type in OpenTTD is coal. Coal to Power Stations is the biggest money maker. Scroll around the map by holding down the right mouse button and moving the mouse until you find a Coal Mine and Power Station in close proximity, but not too close!
Now you have your industries, but how to get the coal to the power station? Well, we need Vehicles. There are four transport types to choose from here. Road Transport would be unhelpful as they take longer to generate money due to their smaller payload. Ships can hold tonnes of the stuff, but are obviously useless on land. Furthermore, how could we build ships here without blowing our £100,000? Planes are suited for long distance travel, and wouldn't make the money fast enough. Trains however, are efficient, can hold lots of coal, and are quite cheap.
Open the Railway Construction toolbar by clicking on the icon that resembles railway track. The icon is located on the main toolbar, which is in the upper part of the screen.
To start, click on the icon that resembles a station building. You will be given a new station building GUI.
Hover the mouse pointer on the buttons to get tooltip descriptions of each button.
Now, using the buttons, create a station next to the Coal Mine with the "Number of Tracks" set to one, and the "Platform Length" at three. Select the leftmost orientation. Click near the coal to build it. Now, reopen the station window, and change the orientation. Then build a station next to the power plant.
Now, you have your stations, but you need to build track between them. I suggest using the Autorail tool, but you can use the directional rail if you'd like. Connect up the stations using the track laying tools. Try to avoid 90 degree turns.
So, now we have our industries, our stations, and our track, but what about our trains? Using the railway toolbar, select the Build Depot icon. A new window will open. Place this depot facing a piece of track parallel to the grid, near the coal mine station. If placed correctly, the track connecting it should be built automatically.
Click on the depot now, and you will be presented with a new window.
Now, click the "New Vehicles" button to open the new vehicles window. Click on a locomotive from the top of the list, then click Buy Vehicle. A window will open. Put this to one side for now, then scroll down in the new vehicles window to buy six coal wagons. Argh! I meant five! Oh well. To delete a wagon, drag the last coal wagon onto the bin icon and then let go.
Now, when you bought the locomotive, a window popped up. Click on the Orders icon, which looks like a broken arrow.
Click "Go To" then click on the Coal Mine station. The name will be entered onto the orders list. Click on the name of the station, and click the "Full Load" button. Now click on the "end of orders" to deselect the station. Using the same method, add the Power station station to the orders, but do not use "Full_Load" as there is nothing to load. Once you are finished, click the "Stopped" button at the bottom of the train window to start up the train!
Congratulations! You've built your first railway! However, please note that this system is hardly recommended due to the fact it can only support one train at a time.