I am relatively sure that is made with the \"insulation foam\" you can get from a Do it Yourself store.
Each component was probably made and shaped seperatedly, with alot of spackle and sanding to smooth things out.
There are special knifes you can get to cut it (woodland scenics makes a 2 inch bladed knife called FOAM KNIFE), but a hot wire cutter (available very cheaply in an arts or floral store) would allow easier cutting.
If its the same one I was looking at, they really did a great job with it.
Painting would have to be done by hand (at least for the primer coat) since spray paint will eat ugly holes into the foam.
Good luck, and post your efforts!!