This is a problem I had when I first got MSTS (back in 2004). There are a number of versions of the 'train.exe' file, the one I had on a genuine Microsoft install disc was too new! The version you need is dated 11th December 2001 and has a size of 3997 kb. I believe that this is the one in the 'version 1.4' update to the original. If you do not have the correct version, no version of BIN will install.
I haven't checked, but I believe the update is available from the the steam4me website.