If you really have got the original 2002 version of Trainz (v1.3) you might have some problems, as content from later versions will not work. In general, if you have Trainz installed correctly, double clicking a .cdp file should install it in whatever version you have. If you have the 2006 version, you will have to commit it in the content manager program (ctrl+M) before it will show in-game.
Paul