You can also download OpenTTD with Gonozal's Patch Pack from the Forums (
www.tt-forums.net, look for the forum OpenTTD Development and in there the topic Gonozal_VII's Patch Pack r12180 (number may have been changed)). In the first post you'll find the download locations for OTTD with Gonozal's Patch Pack.
You only need to download copy_paste.grf separately (which is a 7-zip archive, so you'll need a decompressor which understands 7z-files (I assume WinRar is one of them, check out Google for WinRAR, or download 7Zip from the project site at
http://sevenzip.sourceforge.netAlso you'll need to copy the original data files of TTD (the trg*.grf files and sample.cat) to the directory /data, and when you want in-game music (those midis), you'll have to copy the whole /gm dir over.