I've been trying to do that for quite some time now and with only a little bit of luck.

http://www.renderosity.com/mod/gallery/index.php?image_id=1223052&member

The above link (and resulting image) started out as a height map I made in Photoshop. A little tweaking once it got into Vue and I made the rocksides and hills more weathered.

I can offer this advice if you go the Photoshop for terrain route - when you have a gradient, it goes up as a flat angle, NOT a curved angle.

Meaning if you want a gradual slope to get steeper, then more gradual, you will have to expect to bring it into Vue and play with the Raise and Dig brush on a VERY LIGHT setting - set the Flow to very low to be able to control the amount of changes you make.

I settled on making stairs as it was easier to create the flat "steps" rather than a winding road/path.

OT - that link to the "beginners" river thingy? Wow, what version of Vue was THAT made in?
Good luck and happy experimenting!
-Lew ;-)