GRF
From #openttdcoop wiki
GRFs are small extensions to OTTD's graphics. A GRF could be a new bridgetype, a whole new trainset or a new cargo type. #openttdcoop is using a compilation of GRFs to make our gameplay even more addictive.
#openttdcoop uses a certain set of additional GRF's. You will both need them to play on the Sandbox as well on the Mainserver.
To make sure the GRFs are loaded properly, open your openttd.cfg with a texteditor of your choice and add these lines:
[newgrf] dbsetxlw.grf alpinew.grf pb_hovs_bus.grf pb_viaduct.grf basic_platformsw.grf harbourw_456.grf jcindstaw.grf newstatsw.grf pgs-counw.grf pgs-freiw.grf pgs-silvw.grf pgs-subuw.grf ukwaypointsw.grf usstatsw.grf
Simple copy and paste these lines above into your openttd.cfg to make sure these lines are exactly in the right order.