foo.py

#!/usr/bin/env python
from Tkinter import Tk
from tkFileDialog import askopenfilename, asksaveasfilename
Tk().withdraw()
FILE = open(askopenfilename())
OUTPUT = open(asksaveasfilename(), "w")

lines = FILE.readlines()

states = [4,5,6] # 4000, 5000, 6000
print >> OUTPUT, "Im\ta\theader"
for line in lines:
    fields = line.split("\t")

    if line[0] == '#':
        continue
    includeline = False
    for state in states:
        if int(fields[1], 10)/1000 == state:
            includeline = True
            break
    if not includeline:
        continue
    print >> OUTPUT, "\t".join(fields[0:4])