My guess is that you are not running the Download helper as admin.
To do so, you will need to go into the Trainz installation folder, then into Bin, then find TrainzHelper.exe.
When you find it, right click it and do the following:
1.Click Properties.
2.Click Compatibility.
3.Click in the box marked 'run this program as administrator' then click OK. Repeat the process for contentdispatcher.exe.
If this does not fix the problem, it may be a firewall or DLS issue.
Shane