When buying trainz, you have 2 choices, you can either get the digital download version and have it there and then, or if you have a slow connection or prefer that new game smell then you can wait for delivery.
As for downloading TS12 you should download each of the files...
setup-1a.bin
setup-1b.bin
setup-2a.bin
setup-2b.bin
setup.exe
Once they are downloaded (the first 4 are 1.5GB each and so even with a FCT will take a while to download) make sure that they are in the same file and run the setup.exe file. This will then take you through the setup process like you would if you were installing from a disk. (except it will be faster because it down't need to pull the date from the disk) Just follow the instructions until finished. Then when you first open TS12 it will do a database repair, you must leave it be until it finishes (even if it does not look like it is doing anything). This is in fact the game building the very database of assets that you will use. Once that is completed, the game should launch and whala!
As for patching, just download the patch and run the file. (i believe that you may already be at SP1 as you downloaded after the release, if you check in the bottom corner of the launcher you will see a build number if you check that number with the name of the patch, if that number is the same as the lower number in the patch name, you need to install, if it is the same as the higher number, you do not.) Press start and leave it be. Even if it looks like it isn't doing anything.
As for downloading more content, you can use the content manager or the browser to search and the content manager is the download tool. I find the browser easier so I will tell you about this. at the top of this page there is a link to the download station, click it and you will go straight to it. Here you can choose any asset to download (i would advise you tick the TRS2004 box if you are searching for specifics as there is a lot of content for that). Once you have found the asset you want, click the download button and the content manager will open, on the left hand side will be your download list, here you will see everything that has not been fully downloaded. Add as much as you wish to the list and when you are finished just click start and the process will begin. Default settings are that assets automatically commit after being downloaded so all you have to do once it has finished is launch trains, sit back and enjoy your new content!
I hope this clears things up as it took about 20mins to type

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BigThing