Hello John,
When using 2010, it is best to use Content Manager to perform the downloads. Admittedly, using the web site should spawn the trainz downloader so there is likely a problem with how cdp's are configured (or in this case not configured) to be associated with the downloader.
Perhaps some one can help with setting up the association, but I really I recommend CM since it will search out the dependencies if available
Bricey
EDit: If you are trying to download from other sites than the DLS, right click on the file link and select save as and place the cdp in a folder of your choice, open cm and select import and open the cdp file - you will likely have missing dependencies this way, but sometimes they are all included in the packs - it's hit and miss!