If you use TS2009 Content Manager to download you'll won't have that problem. If you insist on using the DLS, downloads will go to the last version of Trainz that you had open, so just open TS2009 before downloading using the DLS. If neither of these suggestions work you can always use DLS to download and save using ftp. Then use TS2009 Content Manager File - Import CDP function.
Bob Weber