I'm sorry for the inconvenience I've caused you.
Yes, you have to create your training file first.
In general, you can find the cxtrain command line tool in the following directory.
For instance, if your training data (SDF) have property as logP named, you can execute the following.
C:\Program Files\ChemAxon\JChem\bin>cxtrain.bat prediction -t logP -i logP_model sample_data.sdf
-t:property name which you would like to use for prediction.
-i:training id which you can see in the list of Predictor node.
Then, you can see the created training file in the following directory.