The best way to get your data into TrainingPeaks is to use the original file from your device and save it directly into TrainingPeaks.
You can also export the .tcx file for an individual activity by adding "/export_tcx" - without quotes - to the end of your activity page URL.
For example, if your activity page is www.strava.com/activities/1234567890 - just add the text to give you www.strava.com/activities/1234567890/export_tcx and hit enter. This will download a TCX version of your file to the location specified by your browser's preferences. The .tcx file will contain heart rate and power data.
You can also bulk export .gpx files from Strava. When logged into your Strava account you can click on your specific activities, under actions, you have the option to export that workout as a GPX file. Once you download that to your computer, you can find it and drag and drop it into your calendar in TrainingPeaks. The main issue you may see is that you will lose heart rate data in the GPX file format.