Hello Class1987,
Welcome to the wonderful world of content creation!
First off, let me give a direct answer to your question: GMax is extremely difficult to learn
initially.
Second: 3ds Max is far, far, better. But..........
GMax is free, 3ds Max is around $3900.00 Cdn.
3ds is just as difficult to learn initially as is GMax.
GMax is a very powerful tool with a lot of different capabilities. It is an old program though and is "no longer supported" by it's creators. Having made that statement however, there is an incredible amount of information available on the web and in book stores to provide direction on using it to create models in general. For specifics on implementing your creations in Trainz, these forums along with the CCG (Content Creation Guide) will get you there.
If you have never used a 3d modeling program before, I would actually recommend a different product call Blender. Like GMax, Blender is a "free" program. Unlike GMax it is still under active development and will continue to grow and improve over time. Unlike GMax, Blender can create Normal Maps which is/are essential for high quality models. Like GMax, Blender has a very active user base both here and on the Web.
Paul Hobbs has some excellent tutorials but they may be too advanced for a first time project but I would still recommend them. His tutorial were the only ones the actually cleared the path for me to create something in Blender. I had struggled for more than 6 months and had not even produced a brick box in game. You can find his tutorials at
http://www.44090digitalmodels.co.uk/ He has tutorial for Blender, GMax and general skinning technics that will help regardless of what 3d application you choose. His tutorials on GMax will show you how to configure it for use with the Trainz exporters. A very good site to know.
Hopefully I have not clouded the issue here. I think it is important that you consider all the options prior to committing to GMax.
Have Fun,
Bricey