You don't. Trainzobjectz is a priceless content management utility, but you don't use it to install content.
With just one Trainz version installed simply double-click a cdp to install the content. TRS04's Content Dispatcher was so easy to use almost all suitable content will be packed to cdp. In the odd instance where you find something for 04 which is not packed simply drag the content folder into C:\My Programs\Auran\TRS04\World\Dispatcher\Downloads. The only 'trick' is when you manually install you must delete the file C:\Program Files\Auran\TRS2004\CACHE\world_cache_Dispatcher.chump. cdp installs will delete the chump automatically...
Andy