I am working with a Drupal 6.x system to create exercise / personal training programmes, and am using the CCK with content types of Exercise and Programme, where Programme c
Drupal doesn't provide any "cascading" save mechanism to save a hierarchy of nodes in one swoop. You'll need to build each node in code and call node_save() on it explicitly as described by Phil Carter.
The Node Export module can generate sample code for creating a node (complete with CCK fields) programatically.