Own the four railroads to get this achievement to pop. The simplest way to get this is to buy whatever properties you want (including the railroads), and wait for all railroads to be purchased by anyone. If you play on difficulty 1, you can easily trade for the railroads that the AI owns. If you're just going for this achievement, offer up a bunch of your other properties to get the remaining railroads. Once you have all four, the achievement will pop. It helps to modify the default rules to have you start with as much money as possible and maybe even start with the properties divided between the players.