[WaAn]

That's how you do it:

Use the same buttons you're using to build (regular) railroads, but instead of left-clicking them, you have to either right-click them or keep your left mouse button down while dragging the mouse cursor down a bit so that a drop-down appears (been quite some years so I'm not sure which one of both is correct). This will give you the choice between railroad and monorail.