Hi SP4ever, simply copying or moving the downloaded cdp file to a TANE (or any Trainz) folder won't as far as I am aware 'install' the asset(s) contained in the cdp into Trainz. Firstly which folder are you moving things into, Trainz needs a very structured approach to its folder structure so that its internal database can keep track of everything.
To install a downloaded cdp file, firstly if it's part of a zip or rar then extract it - copy the archive to a folder and r.click select 'extract here' is usually quickest option. Open Trainz, Select Manage Content the content manager will open. Then r.click and hold down the button over the cdp file you previously extracted and drag it over the content manage window. You will see another window pop up which shows the installation progress. I hope I'm not stating the obvious here and that I can help if you have any issues.
thanks