If you have downloaded directly using Content Manager, or used the Download(Helper) option, Trainz does not keep the .cdp files as such, only temporary copies, which get deleted every so often. (Usually in the <trainz install folder>/cache or <trainz install folder>/userdata/cache folders)
If you downloaded them manually from a third-party site, or using the FTP download option on the web-based Download Station, the files will be saved where you specified them to be saved to.
Shane