First off, I see it is your first post! Welcome to the Trainz Forums. I'm Steveo241. Duh.
As to your problem... make sure you download all of the files you got in the email that was sent to you by Auran after you made your purchase. The downloads contain files that make the game work. There should be five links in a row in the email. The first link is setup.exe, the main setup tool that brings everything together after you have all of the files downloaded. The bottom four files are the big files that contain all of the built-in content. Download all of these to a folder that should already have been created (since you ran the first file) called TS2010. It should be located in a seperate folder called Auran.
Once you have the bottom four files downloaded to that file, run the setup.exe (top link) again. It should go through the installation correctly. If it doesn't, don't hesitate to post a response here, or PM me.
Have fun,
Steve