You can't install CDP's into the demo. That can only be done in TRS2006 by starting TRS2006 and then selecting Manage Content. The CMP module will start and then if you are connected to the DLS, the CMP module can directly download and install selected assets into the trainz database. Alternately In TRS2006, if you have a CDP and are not downloading you can install assets with CMP by selecting File-Import CDP's and the asset will be loaded into TRS2006 Open For Edit. It has to be committed before it is installed. TRS2004 also requires a full edition install. This includes the Trainz Download Helper which will interact with the DLS to install or be started by double clicking on the CDP icon for an asset and fllowing the instruction in the window displayed. I know its frustrating but you will just have to wait util you receive your version that's on order.
Charles