It's gone

The main goal with the package system was to make it as simple as possible to update. The problem was that some files inside the data folder should be updated and not others. Now the data files have been moved inside OpenTTD itself and to make it even easier, the same goes for the lang dir. There will no longer be an issue where people have different versions of grf files, language files and OpenTTD.

To install simply copy OpenTTD into the folder you want
If it is your current folder with outdated grf files, you should remove
canalsw.grf
openttd.grf
opntitle.dat
signalsw.grf
trkfoundw.grf

THE TTD GRF FILES ARE STILL NEEDED!
They need to be inside a folder called "data" in the same folder as OpenTTD. Create it if you have none. It should contain:
sample.cat
trg1r.grf
trgcr.grf
trghr.grf
trgir.grf
trgtr.grf

(Alternatively you can use the TTD GRF files from the DOS version: TRG1.GRF, TRGC.GRF, TRGH.GRF, TRGI.GRF, TRGT.GRF. A few minor graphical glitches with the DOS graphics remain. E.g. the autorail button in the rail toolbar doesn't look as nice as with the Windows graphics.)

You should also use the data folder to add any custom grf files if you like