unless you want a static object (like a building) you can't. the way trainz is set up the trucks, lights, tender, etc will all be different dependencies. you can get cdp files for locos that include all the dependencies but there will always be dependencies.
as for getting 04; that is personal preference. 06 is newer. However there are still a very vocal community who think that 04 is the greatest version. That being said you have another option; which is to wait for 09 which is coming along.
peter