Store the file you download anywhere. It's best kept out of the Program Files area. Use meaningful folder names, for example D:\Trainz Extras\Joe Bloggs Trainz\Tommy Tank Engine. It's best included in the folders you regularly back up.
What you do next depends on what type of file has been downloaded:
CDP: double-click it
EXE: double-click it
ZIP or RAR: extract the contents, which will probably include a CDP or an EXE which you would double-click
Otherwise, see if the creator's web site has any installation instructions, or if there's a readme file in the downloaded package.
HTH, John