Try redownloading the file again. There are many reasons why you can't open the file.
1) Low hard drive space.
CDP files need to be decompressed and this means more than twice the amount of space needed by the OS to copy the contents from the CDP file and decompress it from the archive and put it into Trainz.
2) A bad hard drive, or one that's failing.
3) The file is corrupted.
It happens. Cosmic rays, a power sag or surge without a UPS, system glitches, something happened the last time you accessed the file, Aliens could have visited your PC, aka Little Green Men. They usually do this to ruin things you like the most unless they're off making Mondays pure hell for IT support staff as they wreak havoc on corporate systems over weekends.