Neil,
Somehow on your computer CDP files have become associated with Internet Explorer which isn't how things should be.
If you want CDP files to be associated with TRS2004
In Windows Explorer, view a CDP file that you wish to install.
Right-click the CDP file and select the Open With > Choose Program option.
Click the Browse button.
Navigate to C:\Program Files\Auran\TRS2004\Content Dispatcher.exe, and click Open, which closes the browse dialogue box.
Back in the Open With dialogue box, double-click Content Dispatcher.
In Content Dispatcher, be sure to check the correct Trainz Version is specified in the Extract drop-down list (it seems to default back to TRS2006 every time if that version is also installed on the same computer).
Click the Extract button as normal to install the CDP file.
After installing new assets in TRS2004, delete the following file if it exists:
C:\Program Files\Auran\TRS2004\Cache\world_cache_Dispatcher.chump
If you want CDP files to be associated with TRS2006
Run TRS2006, invoke its CMP, exit CMP, exit TRS2006.
If you want CDP files to be associated with TC
Run TC, invoke its CMP, exit CMP, exit TC.
If you want CDP files to be associated with TS2009WBE
Run TS2009WBE, invoke its CM2, exit CM2, exit TS2009WBE.
Once associated with the correct program, double-clicking a CDP file will install it into that program. (Well, it should do!)
HTH, John