Thanks, everybody! This information is great. My grandmother must have been visiting her aunt who lived in Montrose. Solely by coincidence, the other train pictures I have of Colorado came from the other side of my family -- my mothers great aunt lived in Montrose as did my father's family. I would never have guessed these were taken in Colorado, but Wikipedia has a picture of the Salida depot that looks just like mine.
Is the Salida depot still there? I can't figure out where it might have been.