Tell us your current build number and someone can probably point you directly to the SP4 file you need to download.
Service pack files have two numbers in their names. The first number must match precisely with your current build number. The second number is what you'll end up with after applying the service pack. If a wrong service pack file is applied the installed files get corrupted.
It's also vital to follow the instructions precisely in every detail. Many have failed to do so and paid the price in hours of work to sort out the resulting mess.
However, if the correct service pack is applied in the correct manner, in almost all cases it will give no problems at all.
As an aside, how do Serice packs affect downloading things - I found a Class 08 I want but only when I tick 'Trainz' in the ds (Not available when I only tick TS04). However, It says in the download page that the item version is 'Service Pack 3?
There is a possibility that your version is the "Just Trains" - UK version.
(it's the one that needs the CD in the drive to run)
Here's a link to their support page:-
I'm very sorry, I haven't got a record of that build number and I thought I'd got most of them. Can I ask you to check it again please?
As an aside, how do Service packs affect downloading things - I found a Class 08 I want but only when I tick 'Trainz' in the ds (Not available when I only tick TS04). However, It says in the download page that the item version is 'Service Pack 3?
That's an exceedingly old reference to SP3 for the very first version of Trainz, even before UTC. It confuses all newcomers and it fooled me too not that that is difficult. (Hint to all software companies: always say what exactly product a service pack is for!)
Apart from that bit of ancient history, service packs don't inherently affect downloading. Of course, any service pack may have all sorts of specific bug fixes that might.
However, make sure when searching the Download Station for items, that you tick every box below TRS2004.
If you don't, you will miss out on a lot of content. Trainz is backward compatible from TRS2004 to Service pack3 & Trainz (the original version)