If you just want one route, there are multiple ways:
1. Use Content Manager to save the route to a .cdp file (or archive) and import that using the TS2009 Content Manager.
2. Open the route for edit in Content Manager and use the TS2009 Import Content menu item (assuming it has it) and point it at the route folder inside the TS2006 Editing folder.
If you want to import everything you added to TS2006 (either via download or by creating it) then use the TS2009 Import Content menu item and point it at the TS2006 Local folder. Then go find something else to do 'cause that'll take a long time I'm sure.
With some of these methods you may need to manually commit the items after they've been imported, check the Open for Edit tab. (Launching Trainz from CMP might also commit the items.)
Little note: You might need to use Compatibility mode in TS2009 to get everything to show up. Not sure how good it's error checking is compared to TS2006, but I assume it's a bit stricter so some items might show up as faulty and not work in native mode. Though I think Compatibility mode may be the default in TS2009?