Is NUTS Unrealistic Train Set free?

Yes. NUTS Unrealistic Train Set is released under Open Source / Community and costs nothing. Neither it nor OpenTTD has any paid content.

What do I need to run NUTS Unrealistic Train Set?

OpenTTD, which is itself free. NUTS Unrealistic Train Set is an add-on and will not run standalone.

The PlayBound Launcher installs it in one click from OpenTTD's mods list. You can also install it by hand — full steps are on this page.

Roughly 15 MB, on top of the base OpenTTD installation.

NUTS Unrealistic Train Set — Free OpenTTD Mod · PlayBound