Given that the file associations thingy in windows 7 doesn't properly recognise TS12, it's a little tricky.
I use a series of 2 .reg scripts that allow me to reset CDP association to TS2010 or TS12 (TS2006 is a lot more aggressive in setting file associations, and all that is needed to get TS2006 as the default handler is to run 2006). Double clicking on the files loads them into the registry and sets that particular version of trainz as the handler for CDP files.
I also have firefox set to always ask me how to deal with trainz:// links, so that I can choose which version of trainz to import download helper links into.
If you're interested in making your own .reg files, here are mine, but they will need to be modified with the location of your TS2010/TS12 content manager: