Locosound Board

You need that insulator IF the circuit requires the metal tab of the regulator to be electrically isolated from the conducting metal heatsink/frame that it attaches to.  Not all circuit designs require this isolation.,

Here's a typical TO-220 (the package style of your regulator) heatsink assembly:

From what I can tell in your photo, there is a white-colored Shoulder Washer (item 2) which keeps the metal screw (item 5) from touching the metal tab of the regulator.  That being the case, I'm thinking your board does require the isolation and hence you need the insulator sheet (item 1) between regulator and heatsink as illustrated above.

Yes, Stan is correct. You must have the Mica insulator between the transistor and the mounting bracket and the white insulator on the top of the screw,

Cheryl, Stan is correct.  Mica needed.  Anytime someone has been into a board before throwing it on you, carefully figure out what they did.  This is a tough one as you may have put in a new board and blown it following what he did before.  Not your fault.  Whenever someone has been inside a locomotive and you throw parts at it, you may end up being the owner of a bad board.  I will not waste my time trying to fix something that was messed with before it came to me.  I always ask if anyone had worked on it before.  I see this often and many people have got upset with me because I will pass working on a locomotive.  Many self proclaimed repair experts exist in our hobby that should not be touching anything.  We also have many great people that deserve help if they are honest and outline everything they did.    

I can see how this one got by the boards.  I hope you can work it out.  You do not deserve to be hurt by this from following something someone else did.