Well, you haven't reinstalled Trainz to D:\, have you? That would work, but you'd lose the Windows built-in protection. The basic principle is simple:
- Program files, everything from the exe, the DLLs and supportive read-only files go to C:\Program Files. But this is beyond your concern, the installer of the program will take care of that. That's why you need admin privileges during installation.
- All program data, whether written by the program itself or the user for the program, go somewhere else. There are dedicates regions in the Windows file system for that, but, in our case, you don't need to use those.
Again, the key point is separation of read-only and read/write files. This is not specific to Windows. Other operation systems like Linux do the same.
As a long time Trainz user you may be confused a bit, because early versions of Trainz screwed up here, and some users recommended to install elsewhere.