If you go into My Documemnts on your computer, there should be a folder in there called 'Sports Interactive'. Go in there, then into Football Manager 2007 and you should have a list of several folders (db - games - matches - skins etc). There should be on in there called 'scheduals' - if there isn't simply create one, and extract your downloaded training files into it.
Then when you go into game, on the training screen at the top somewhere there is a 'scheduals' button. Click that, then click 'edit scheduals, then import. This should take you directly to the folder you have just extracted your training scheduals to, and you can add them from there.
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