Follow what clam 1952 says then open your trainz 2006 menu, go to forums, them download station, [up near the top RH side of the page] then put in your user name and PW.
Once on the download station [DLS] have a good look around at the routes locos, scenery, etc available to you. Your version of Trains is now getting a bit old and has been superseded by later versions so unless you know what you are doing dont download content for other than 2006. That should keep you out of trouble with errors etc. Downloading using the download helper will automatically open up CM in your 2006 game and import it. If youy have a problem then you will need to use fps and download the asset in the nornal way, save it into a folde of its own then import the .cdp file into CM.
A first class ticket is the only sensible way way to use the DLS and will enable you to increase your assets and get much more out of the game. Cheers