Download Station: Name for the website where one can download content, a combination repository and database of Trainz assets
Content Manger: Program for dealing with local assets on YOUR computer. It is also capable of accessing the Download Station, and downloading and installing content from the Download Station. It can also install content downloaded from 3rd party sources as either a proper folder structure or a "CDP" (Content Dispatcher Package).
Updates on the main menu are a listing of assets that have later versions available in the Download Station. It is NOT required to download them, but it is generally a good idea. This is not to be confused with program updates or service packs which would be downloaded and installed separately.
Because it might help:
DLS = Download Station
CM = Content Manager
CMP = Properly, "Content Manger Plus", the editor built into the Content Manger but often used to refer to "Content Manager"
DLC = "Downloadable Content" payware from Auran/N3V store