technically speaking mjolnir; the DLS is the database where all the assets are located. which you can access via the DLS website (link at top of page) or via CMP/2.
georailz; what mj was going after was that in order to help you we need more information. mainly: what version of Trainz are you using? what error messages you are getting, what steps you have tried to fix the problem already, etc.
peter