Hi Lodger,
First off, move the .cdp files from out of your Trainz, as you cannot install them from within - create another folder on your hard drive and move (not copy) the cdp's to it.
Open Content Manager (on the opening screen click "Content"), and then click "File" (top left), click "Import CDPs" and navigate to your new folder. Select the first cdp you wish to import and click "Open" and it will install. Repeat for each cdp in turn (yes, you can only do one at a time).
When you are done, click on the "Today" tab along the top of the main pane, and all your assets will be listed. If any show errors or warnings, refer to the sticky on the Trainz 2010 forum entitled "Faults and how to fix them" (most of the fixes work in 2009 and 12, as well as 2010), after first R-clicking the asset and clicking "Show errors and warnings" and noting what the fault is. Missing Dependencies similar, R-click, "View dependencies", "Open in Mian List" and download anything with the DS symbol.
For Errors, you will need PEVs excellent utilities, which are free and a godsend, and there's a link to the site on the thread in the 2010 forum, along with the tutorials for how to set them up and use them. Older content does not always work immediatelly in TS12, but many can be fixed.
Anything you can't fix, post the problem on the forums, and help will be provided.
Good luck,
Ken