Simple, find your content at this location of your TRS2004 installation, Auran\TRS2004\World\Custom\trains. Each item you created in Paintshed has its own folder. Open TRS2006 CMP and then drag and drop the folders of the items you want onto the CMP window. Depending on the settings of CMP, you may have to commit some or all of the items. By default it automatically commits I believe. Or if you want everything in the Custom\trains folder, you can choose Import Content under the File menu and pick the trains folder in the Custom directory.
William