In order to apply SP1 (and there is only SP1 for Trainz 2006), you need to know the build number. This appears at the bottom right as you start the program.
THis will determine a) if you need to add SP1 (some don't need it) or b) which patch you should download - it must match your build number or you're in real trouble .
If you can find the build number, post i here and wait for part 2 of the help.