Welcome to the forums.
You have two ways of downloading in TRS2006. You can either use the web-based Download Station (link to which is above) or Content Manager.
To use the web-based version, you will need to log in if requested, then use the search box to find the content you would like. Make sure that under Trainz Versions that you have TRS2006, TRS2004, and UTC ticked.
Once you find an item you like, you can then click Download (Helper) to let Content Manager download it, or click Download Page to access the Download (FTP) link which will allow you to save the asset to a Content Dispatcher Pack (.cdp) file to install later. Be aware that the FTP option does not download dependencies though.
To download using Content Manager, click the arrow next to Search on the left hand side of the screen (if the Search panel is not already showing) then enter the search you would like. Items that have a DS icon next to them are available for download - you can select one of then, then right-click and click Download. This will then gather the required dependencies and download it directly into the game.
Shane