Hi yleekylote,
Welcome to the addictive world of Trainz.
If you use the Content Manager that came with TS12, or use the Download Helper from the DS web page, to download a session from the DS, it will automatically find and download all the DS assets that you will need but do not already have. This will normally include the layout/route, all scenery and rolling stock items, any rules and other specialised assets. Likewise, if you download a layout/route, it will find and download all the scenery, rolling stock, etc. The only exceptions will be where layout/session creators have used assets from 3rd party web sites that will not be on the DS. It can be a pain to track down these 3rd part assets as many posts in these forums will attest.
Many (most??) of the 200k available downloads will be for earlier versions of Trainz and most of those will not work on TS12 (athough assets for TS2009 and TS2010 should work) so there is no point in trying to download them all - although there are some "Trainzers" who have done just that - its a pride thing!
Peter Ware