It's a self-extracting archive. All you have to do is download and install WinRAR and doubleclick on the EXE (normally, in Windows, this would run the EXE, a big no-no - but WinRAR looks inside it instead.) You can then extract the content to whatever folder you want and use CMP's Import Content function.
Well, don't I feel like an idiot.
I totally forgot about the "Import Content" function.
I guess I got so accustomed to CDP files, I overlooked the other options.
Thank you, Signal.