I must agree with Ray on this. Please DO NOT try to make a complicated object such as a loco or indeed any animated asset from word go because it is 98% sure you will fail.
As Ray suggests get used to the program you choose first by learning how to create boxes, tubes, cylinders, cones and all sorts of other useful itmes and then find out how to put textures on them. Texturing is probably the hardest part to get your head around but once you have it mastered creation becomes easier.
Any 3D creation package is going to become a long learning curve and lots of patience and time is needed before anything good will appear on your PC's screen.
Having said that do have a go, there's nothing to lose, apart from your sanity of course, and lots to gain because content creation can be a very satisfying thing to do.
As in another thread, I suggest you make something simple, I suggest a Box and also a texture map with 6 sections in it of different colours and each one numbered 1 to 6. The texture map will need to be converted into a Targa file if using Gmax (not sure about Blender as I only use Gmax) in something like Irfanview which is free or Paintshop or even PaintShopPro. Programs I use a lot are PaintShopPro, Paint, Gimp and Irfanview.
So go get either of the free 3D programs, if you choose Gmax then you will also need TACS (Trainz Asset Creation Studio). This last one will allow you to make the .im files needed to import your new content into Trainz easily. Once set up then have a look around inside your chosen package and find out where things are and what they do. Both Gmax and Blender have support books that might be helpful, although I have found the Gmax Bible of only limited use and they are both fairly expensive.
Why not let us know what you want to do/decide? And remember there is a dedicated section on this forum for Content Creation where you will find loads of useful info, help and advice.
Angela