Windows explorer. If you select the desktop shortcut and right click on it, that brings up a menu - select "properties" and it will show you the full path, for example F:\TS2009\Trainz.exe. So I open Windows explorer, browse to F:\TS2009\ and look for a folder named \UserData and inside that is the \local folder. TS2009 SP3 the \local folder is in the \TS2009 folder since the \UserData folder was introduced in SP4 and carries over to 2010 and 12. That's why I say copy the contents of the \local folder instead of the \local folder itself, in 2009 SP3 you'll have \TS2009\local\hash-00\, so copy the \hash-00\ and all the other folders like that (select the first one, CTRL A to select all, CTRL C to copy, CTRL V to paste) and paste them into the
\TS2010\UserData\local folder. Again be sure to make a new folder on the desktop or someplace named \backup, copy the entire \TS2010 folder into that before trying the copy and paste from 2009, so if something does go wrong you can fix it without having to reinstall and run all the patches again.