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I bought the game this morning and after the quick download tried to play, it immediately crashes (I'm sorry I can't give the error code because it is impossible to use my machine afterwards). I have no idea what to do, I just click on the shortcut the installer created and it flashes and crashes, killing Explorer. I am running Windows 7 Home Premium 64 bit.
You need to go to "C:\Program Files (x86)\GOGcom\RollerCoaster Tycoon Deluxe" and then double click launcher.exe This will kill explorer (it does this for stability) wait about 30 seconds and the game will load. Once you have done this you can just run it from the RCT.exe and it will load every time without killing explorer.exe

PRO TIP: If explorer disappears on you in future, just press your Windows Key (the one between CTRL and ALT) + R and it will bring a launch dialogue up. Type in "Explorer.exe" without quotes and press enter. Robert's your mother's brother, Explorer has relaunched right where you left it.
Thanks! I am now able to play the game.
I'm having the same problem on vista 64 and this solution does not work for me.
thanks for this as well. I had a error message saying it could not find the explorer launcher and would exit.