Hey blue, welcome to the forums
To put Shane's words in perspective, think about how modern aircraft (I'll use my local manufacturer, Boeing, as an example) are put together.
In Boeing's main assembly line, different parts and systems from around the world are all put together on one frame. Some of these parts, such as wings, are made in countries around the world, by different companies.
Likewise, Trainz uses a somewhat similar method for content. The train you downloaded has different 'parts' to it, such as sounds, interiors, horns, etc.
The "final assembly" occurs when Trainz is started up, and the software checks to see if all the 'parts' are downloaded and working. If something is missing or broken, Trainz will not load the locomotive (to prevent bugs and glitches).
It may seem annoying at first, but think about it:
You wouldn't fly a plane if the wings were missing
Hopefully that helps you understand how Trainz works
Cheers