The way to download is different in TRS2004 and TRS2006 and above.
In TRS2004 use the download helper that is located in your TRS2004\bin folder, in 2006 and above use CMP. For 2004 the best way is to place a shortcut to trainzhelper on your desktop, open it to check that your username and password are entered in trainzhelper and check that it is pointing to the correct directory then click 'save'.
For 2006 and above use CMP for 2006, CMP2 for 2009 and CMP3.2 for 2010.
In all versions of CMP find the item you want to download, right click on it then left click on 'download' in the selection panel. All versions of CMP can be set to automatically commit when downloading is completed.
Cheers,
Bill69