Well, personally I save all downloaded Trainz files (Usually .CDP's) in a folder on my main HD. Periodically, I back-up this folder, as well as the entire Trainz directory, to an external hard drive and then disconnect it from the system. I never leave it connected when I'm not using it, due to the possibility of infection if it was connected during a malware infection.
There is also the option within the Trainz Content Manager to save existing Trainz content (in-game) to .CDP files and store them somewhere on the machine. I find this useful in route creation, so my custom routes are backed up.
Thanx - seems like good advice