What version of SDL are you using? SDL-20050330 does not work with OpenTTD for reasons currently known (I'm looking into it), you must use SDL 20041222. Make sure your version of FSLib matches, too.If you want to create a log file of events, start OpenTTD from the command prompt with this command line:
openttd -d 9 > stdout.txt 2> stderr.txt
Then post the contents of both files here (one of them will possibly be empty, usually stdout.txt).
Also, I assume you have the game data stored to the data directory (trg1r.grf, trgcr.grf, trghr.grf, trgir.grf, trgtr.grf, sample.cat), and not any other directory?
Hope this helps, please let me know how you get on.
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Owen Rudge
http://www.owenrudge.net/ | The Transport Tycoon Forums