There is an addon that allows you to do this, you can download it here:
Import GPX. You will also need to download the .gpx
file from the website you linked in your question (select Download as
> GPX Track
).
Install the addon and activate it.

Go to File
> Import
> GPX (.gpx)

Select the .gpx
file you downloaded, make sure that Use elevation for Z-coordinate
option is checked, and clickImport GPX
.

It may seem that nothing was added to the scene but you'll notice a new object in the Outliner (with the same name as your .gpx
file). You can't see it in the scene because the track is very big (it's 2 km wide). Unless you want to keep it the original size, select the object, press N to open Properties panel
, and change scale to something like 0.005
. You should be able to see the whole track now. Apply the scale by pressing Ctrl + A > Scale
.

Press 3 to view the track from the right side (ortho) and Tab to Edit Mode
. Select all vertices (A) and extrude them (E) down on Z axis (Z).

Press S > Z > 0 to align vertices on Z axis.

Go back to Object Mode
(Tab), press N to open Tool shelf
and enable smooth shading on the object.

Enable Auto smooth
option in the Object Data
panel, and set the Angle
to 80°
.

Add Solidify
modifier and set preferred Thickness
(3 cm
look nice).

Add a ground plane, add a white diffuse material to both the track and the ground plane, add lights to the scene (only sun lamp in my scene) - and render.
