Here's how to get the monorail going in TRS2006 SP1. These instructions probably don't apply to any other versions of Trainz though.
1. Install TRS2006 and its SP1.
2. Run TRS2006.
3. Select the Manage Content option, which invokes CMP.
4. In the CMP menu, File > Import CDP's.
5. Navigate to the C:\Program Files\Auran\TRS2006\Docs\manuals_cd\extras\Monorail folder.
6. The official instructions say to select all nine CDP files in this folder and then click the "Open" button. As this may confuse CMP, it is preferable to process each of the files separately, one at a time. If after installing these files some missing dependencies are reported, then commit all the assets which are currently open for edit. There is no need to download any dependencies from DLS or elsewhere.
7. After installation, the Surveyor and Driver menus should show a layout called "Monorail Demo 2" with a Driver session of the same name.
HTH, John