As Bob Cass mentioned, we will need to know what version you are using.
TRS2006 has the "Download Helper" which never has worked for myself.
However the best way to do it (in my opinion) is to use the "FTP Link" which saves the download to your computer.
Go into "Recent Items" on your computer and look for the download name, which is generally "KUID...." unless you name it when saving it.
Once you click on it, it should open Content Manager Plus (Commonly referred to as CMP) then it will open a small box on CMP in which you will click "open" it will open the download and show it.
Here you will have few different situations.
If the selected has a yellow "?" it means it has missing dependencies and you will need to download those via the DLS.
If it does not have the above mark, proceed by right clicking on it and select 'commit".
This will only work if you are running Trainz Railroad Simulator 2006.
Hope this helps,
Woody:wave: