First step is to download the 5.3 comma-delimited version of the Lahman data base from this site:
http://baseball1.info/statistics/lahman53_csv.zip
Once you download it unzip it into it's own folder somewhere outside of your main OOTP2006 directory.
A great step-by-step guide can be found starting on page 65 of the detailed OOTP2006 game guide.
Here is the link to download it:
http://ootpdevfiles.com/ootp/OOTPBas...-GameGuide.zip
If you have questions after you go through the guide let us know and myself or someone else will be glad to help you.