Make sure nothing is selected - left click on screen with selection tool or go down second column in main menu and choose 'select none.'
Go down the first column of the main menu and left click on 'export'.
Navigate to the asset's folder - in which you have already saved the mesh -, enter the name of your model and click OK.
Click on the little hammer - resource collector - click on browse, navigate to the same folder, click on use path. click on begin.
You will find that your folder contains gmax, GMW and IM files, the textures you have used, a txt file for each of the textures.
Write your config file and all should be well. If you are unsure about what to put in the config, look at an asset which you know is OK - or ask.
NB I prefer to use select none rather than to select each part of the model as suggested by privite. Alternatively you could select all (second column of menu again), and group to make one item of the whole model, then save and export.
By the way, gmax and GMW files are not needed by Trainz but if you keep them they can be useful in future for modifications etc. If you then import the asset into Trainz, they are discarded anyway - but remain in your original folder.
Hope this helps.
Ray