Hello eastauburndepot,
Paint Shop is a "simple" reskinning tool - Reskinning is the process of adding a new colour design to a locomotive or other rolling stock.
Paint shop, while simple is very limited and only allows a very small selection of rollingstock / locomotives to be skinned. In addition, the types of colouring allowed are restricted to specific templates thuse limiting how you can make the item look.
Having said that, there is a lot of content on the DLS and included in the game that requires Paint Shop to be set up and working properly or they will not work. You may find, as you look through the rollingstock content that some will not appear on your layouts.
In order to skin items not included with Paint Shop, you will require a different editing package such as Paint Shop Pro by Corel, Photoshop, The Gimp (freeware), or just about any other paint program that support layers and saving "uncompressed" tga format.
For more info on skinning use the forum search tool and look for "Reskin". You will find a large amount of info available.
As for the problem with unregistered OCX file, did you install this on Vista? If so, search the forum for Vista and you will likely find the answer somewhere. Vista usually requires the use of an adminstrator account to install Trainz properly. You may have to completely remove trainz, repair the windows registry then re-install as administrator. If you are using XP then I am at a loss unless you had something else running in the background which had a lock on that file perhaps. Again, Search for installing and you will find a lot of information.
Brian