You need to check the build number, which you will see on the bottom right of the start screen, it will be a five digit number such as 44088 or something like that. Note whatever number it shows on your start screen, then go here:
http://www.auran.com/servicepacks/
and download the appropriate service pack which fits your number and version of Trainz (makes sure it is a patch for you version, i.e. 2010, 2012 or whatever):
When you have downloaded the patch, run it, note that it can be a bit flaky, so give it some time. When you are patched up (it might take more than one patch to get you updated in some cases), fire up Trainz and when it is well enough up to date, it will then detect that you are able to autopatch upon start up and will offer you the option to do that, which will bring you completely up to date with the current version, which for Trainz 2012, is build number 49922.
The Steam version will autopatch, but is a bit behind the standalone versions, so you might need to download the odd bit of content manually to sort that version out. Even if you bought the standalone version of Trainz 2012 yesterday and have literally just installed it today, it will still need patching (they really should sort that out to be honest), so yours is not an unusual position to be in.
Al