May I ask how you have tried to install the file in Trainz? As I have been reading on the forums lately, you should not double click a .cdp file to install. A file that can look like .cdp file may have a nasty surprise.( I have not has any yet
Knocks on wood)
A better way to install would be to open CMP,Click file- install cdp's.
If you did double click on the file and it tried open in adobe than you computer has the .cdp file extension set to open in adobe.
This utility may be able to help you out. I have not used it so I cannot say yes or no.
http://trainz.shaneturner.co.uk/tutorials/index.php/trainz-protocol-changer
Kenny