If you download from a site and press Save, it saves a CDP file of the asset in your PC downloads, and you can store all these thousands of CDPs on a DVD-RW disc, external hard drive, or flash drive for later retrival.
Double clicking on a CDP will open up CM ... and the CDP will be there "OpenFor Edit" ready to "Commit".
You can make any asset into a CDP file, and store it somewhere, by "Save As CDP" in CM, where it will be saved in your PC downloads.
Your actual assets in Trainz are stored encrypted as hash files in Trainz, and they are not CDP's.