Jack,
Ignore the message by Internet Explorer. After you've downloaded the installer, you need to run the setup.exe or whatever it's called.
Assuming you have Windows 7, Open up Windows Explorer and go to c:\Users\yourusername\Downloads.
Right-click on the installer, and choose run as Administrator.
Confirm you want to do this. A yellow box will come up with a warning on it.
When you run the installer, choose add-on to Trainz instead of stand-alone version. There's little dialog box to browse to your TS12 install, which is usually C:\Program Files (x86)\Auran\TS12, otherwise point to where you installed your Trainz TS12.
Let the installer do its thing, and put in your serial number when prompted.
When you start Trainz the program may run a database repair. (I can't remember if it does or not, since I installed this over a year ago now). This is normal, so don't worry.
John