I saw this VHS 3-4 years ago. I think that is when the movie was made.
The film is set entirely in winter in a western mountain (Utah?) town.
The winter setting with beautiful cinematography actually made me feel
the cold. The Union Pacific railway is being built and the town
population is comprised of rail workers, rail barons and prostitutes.
There is a rich fellow with a big wooden (round with towers?) house on
the hill. When the town economy collapses because the rail route is
changed to pass through a neighboring town in the lower valley, the
rich guy stays in his house to care for a dying prostitute he loves. I
think I recall there being a piano in the house.

Hello.

I believe that you're thinking of "The Claim" (2000).
http://www.amazon.com/exec/obidos/tg/detail/-/B00005AX6G/

The movie is set in winter.  Furthermore, it involves a railway, a
frontier town, and prostitutes.  See these reviews:

Reel.com
http://www.reel.com/movie.asp?MID=131510&Tab=reviews&CID=13
Culturevulture.net
http://www.culturevulture.net/Movies2/Claim.htm
Screenit.com
http://www.screenit.com/movies/2000/the_claim.html
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search strategy:
review winter railway hookers movie

I hope this is the movie that you had in mind. If not, please let me
know via the "request clarification" feature. Thanks.

Very quick answer. Correct one too!