The game includes a short tutorial which will guide you through the first steps of the game. If you don't need it, you can disable it in the advanced Game Settings before you create a map.
At first, you should pause the game and have a look around the map. Notice how many Towns are there, how many Industries, and how far apart they are. A good starting location should have at least three Towns and at least one of each Industry, so that your rail doesn't cost too much money Tokens. Your first train should be a money train, so start by connecting two nearby towns. Try to place your Stations in such a way so that they cover a bigger part of the town (or the whole town, ideally), that way they will generate the most passengers. For a steady money income, build at least two passenger trains. Depending on your difficulty setting, you might want to build more, so that you don't run out of money in the middle of the game, but usually you won't need more than 4 passenger trains. Remember that there will be new sources of money added in the upcoming Ages.
After your income is secured, start building the supply chains for other Tokens. Coal chain (Coal Mine -> Toolworks) is important, because Coal Tokens are consumed by the more powerful trains as fuel, until the Diesel trains become available. Also many different extensions cost Coal Tokens to build. Timber chain (Forest -> Sawmill -> Toolworks) is also very important for extensions. Build them in any order you see fit. Don't forget to complete quests during your gameplay, as you will gain rewards as well as open new quests. Now, it is your turn to create a big transport company.