Your best friend when traveling by train in Europe. Try this:

http://reiseauskunft.bahn.de/bin/query.exe/en?newrequest=yes&protocol=http:&

I should ask however, where you will be at Lake Como. You can find the schedules on the linked site from Como to Salzburg (oddly the ones with only one change take longer that those with several changes). But if you are in Varenna or Bellagio, for example, you may want to start from Varenna or Lecco. And sadly the trains from there to Milan for changes can't be found.

I suggest you look at budget flights.

If you really want to train,there are no easy train connections from Como to Salzburg through Italy. Most require 3-4 changes and take 9-14 hours.

I think your best bet by train (if you are in the town of Como) is to catch an early EC train at Como S. Giovanni to Zurich (travel time 3 hours - advance purchase discount 19€ if still available). From Zurich there are several Railjet departures to Salzburg that don't require a change of trains and travel time is 5:18.

No overnight trains any more between Milan or Italy and Switzerland - scrapped few years back - but you can take one from Munich (1.5 hrs from Salzburg) to Amsterdam - the CNL or CityNightLiner - otherwise in day time a long journey - perhaps you could break your journey say in a lovely place like Lucerne to make two shorter days.

If traveling much by train look at some kind of Eurailpass - probably a Select Pass that in Switzerland, Austria and Germany lets you just hop on any train anytime - or book weeks (months perhaps!) early to get the 19 euro Milan to Zurich ticket that is train-specific and hard to impossible to change it seems - but if you can lock yourself into concrete and get the very limited numbers of those tickets that would be the cheapest way for a relatively few train trips - in Germany www.bahn.de has similar online way in advance to get usually discounts as low as 29 euros flat fee on high-speed trains between many cities.

For lots of great info IMO on European trains I always highlight these superb IMO sites - www.ricksteves.com; www.seat61.com and www.budgeteuropetravel.com.

,there are no easy train connections from Como to Salzburg through Italy>

you then outline a route with only one easy change of trains in Zurich - what is so hard about that???

That's only if the OP is in Como (we don't know that for sure) and it's over 8 hours of of train travel (not counting probably having to hang out in Zurich train station until the next Railjet train). A flight would likely be only an hour or two.

Depart Como San Giovanni 0945, arrive Zutrich 12:51. From €19 booked at www.fsitaliane.it (look for smart price). Lovely scenery through the Gotthard Pass route through the Alps. Lunch in Zurich.

Now depart Zurich 14:40 by Railjet (see virtual tour at www.railjet.at ) through the scenic Arlberg Pass and the Tirol to Salzburg arriving 19:58. Bistro car for afternoon tea and dinner. See video of train and great scenery at http://www.youtube.com/watch?v=KV1G58ot71k . Fares from €29 booked at the Austrian Railways site www.oebb.at - look for the cheap fares marked with a clover leaf.

Salzbrug depart 19:51, Munich arrive 21:33. Then Munich depart 22:47 by excellent City Night Line sleeper train, arrive Amsterdam Centraal 08:56 next morning.

Fares from €59 with couchette, €99 with bed in 2-bed sleeper (with washbasin, shower at the end of the corridor, breakfast included) or from €129 with bed in deluxe sleeper with private shower and toilet, breakfast included.

Book Salzburg to Amsterdam at www.bahn.de/en - it will initially suggest a 21:02 departure from Salzzburg, but 15 minutes is too tight a connection into a sleeoper train you cannot afford to miss, so click 'advanced options', change 'duration of transfer standard' to 'duration of transfers at least 45 minutes' to get an earlier train from Salzburg, and the job's a good 'un. You print your own ticket.