Thanks for your reply's.
I downloaded the Trainz 12 files from Simulator Central and then installed it on the computer at this location:
C:\Program Files (x86)\N3V Games\Trainz Simulator 12 without a hitch.
I then downloaded "The Duchess" files to the same location and executed that application from there and everything worked fine.
I have not uploaded Trainz 12 to "Steam" yet, but i suppose if I do, now that the Duchess files are part of the Trainz 12 package, they too would be uploaded?