Content you download in the form of CDP files has to be installed. Go to the folder where you saved the downloaded fles, doubleclick on them and ContentDispatcher should start and install them. Then you will see the object(s) in Trainz. If you don't already have TrainzObjects, run don't walk and get it. It is an amazing program to manage all your Trainz object, error check, rename, replace in a route etc. You can get it here http://www.trainzobjectz.co.uk/
1. The reason your addons downloaded via FTP don't show up is they are not commited. That means they are Open For Edit. Go to TO and commit them.
2. Startup TRS2004. When you get to the main screen (The one that shows Surveyor, Railyard, Driver, Scenarios, and Trainz Exchange), look at the lower right-hand corner.