The error relating to trainz: urls can also mean that the required registry key for the trainz: addresses (which should point to CMP/CM2/CM3.2) has not been created by Content Manager. This should happen the first time Trainz/Content Manager is loaded (as long as it is running with admin rights if on Vista/7) - errors may also happen when downloading via CMP. Might be worth seeing if the Download via FTP (click Download Page next to an item to access this option) option works - if it does, Content Manager is not setup correctly (make sure it is running with admin rights if using Windows Vista/7 - right-click the Trainz shortcut on the desktop and choose 'Run as Administrator')
Shane