Welcome to the forums Steve.
Where did you purchase your content?
If you open up Content Manager (manage content on the launcher), choose faulty after everything loads. This will display anything that's missing or broken and needs fixing.
If your locomotive appears in the list, this will explain why you can't find it installed in-game.
The status will show you what's wrong, such as missing dependencies, for example. This information will determine what you need to do next.
For missing assets, right-click and choose download to pull in anything from the Download Station (aka DLS for short), or you may need to install another content pack (cdp file) containing the extra parts.
If the status shows faulty, then right-click on the asset and choose View Errors and warnings. Among all the text will be the actual error including information about missing assets.
If you need help with the information, highlight the information, copy it and paste it here and we can assist you.