You may need (well, it's advisable) to download and install the service pack for 2006, can you tell us which "build number" you have? (bottom of your opening screen).
cdp=content dispatcher plus format files, which is the compressed file format (xxx.cdp) that Trainz 2006 uses to install new content. You will find zip files from some Trainz content authors (on sites other than Auran's official one) which in turn will contain .cdp files).
From the initial menu screen after launching TRS2006 choose "Manage Content" and CMP should open-then folow latter part of John Whelan's response. After downloading you need to "commit" the new files-though in the settings you can set up CMP to automatically commit when you close it and launch Trainz proper.
There are lots of issues with downloading with CMP though, not least a dailt limit unless you subscribe to an FCT (first class ticket) which gives access to a faster, bigger server. On the default one you have to fight it ouyt for a share of the limited bandwidth, so at busy times it's very difficult to get a connection and download.
You may find it all very frustrating, but stick with it because it's a superb sim despite niggles.