Kieran's method is one way, but there is a more permanent way of solving this. You need to associate the CDPs with TS12 Content Manager.
With Windows 7 (this also works with Windows XP, Vista, and Windows 8), go to the folder where you've downloaded a CDP file.
Double-click on a CDP file. Windows will bring up a dialog box. Choose the option to browse for the application.
Browse to where you installed TS12, and go to the Bin directory.
Choose Content Manager.
Click on the checkbox to enable always use this application to open these files. (It's worded something like this).
Click OK.
From now on, Content Manager for TS12 will open up your CDP files.
John