Tubes like a stitch where it needs to turn corners and follow definate path are not easy to create and can't be created with just one tube image.
Were you able to download the tube pack at the corel site which has that one stitch tube? That one does not create a continous back to back running stitch it creates the stitches with a space between the stitches. But that particular tube has 80 cells to create just one stitch. It needs all of those little cells so that the thread can actually turn corners and to leave a blank space between the stitches. Does that make sense?
PSP also has a standard Thread Red tube, you can just drag the .tub image into PSP just like a normal image. you will see that it has 10 little parts to create a thread that can turn and bend. Here is now I made a stitching tube out of this, I created a new image at 250x250, Turn on your grids and set the size at 50x50 pixels, copy the ThreadRed image and paste into your new image and line up the little images in the centers of the grids. Now with your selection tool select the first 5 images in a rectangle selection, copy these and paste into your new image so now you will have 15 little images. And you bottom two grid cell rows will be empty. Now go to Export Tube, change the settings in there to 5 cells across and 5 cells down. Continuous, 1, Incremental and scale 100 name it and hit save.
Creating tubes that actually bend and curve from scratch is tedious and hard unless you have a lot of experience in tube making. In the beginning PSP's tubes were basically just to stamp a image onto your paper, it had the ability to run through numerous images and basically were transparent .png's. Then someone really smart, figured out how to make images that worked like the little flip corner books where the comic images seemed to become animated as you flipped through the pages...do you remember ever seeing those?
Anyway that is how a stitch tube is made, a series of little parts and pieces and then set into motion depending on the step size how fast and far apart the stitch image is created.
I realize the ThreadRed tube might not be the type of thread you are looking for with it's texture, but you can colorize it which helps a lot!!

If you are interested in the stitching tub I made just PM me with your email and I will send it to you!

I did a screen shot to show you what I am talking about you can see it
here