What you downloaded is a "repaint", a new livery for the Dash9.
This is not the Dash9 itself.
You must first own the original Dash9 locomotive, then you can add repaints.
It's like repainting your car: getting paint is not enough, you still need a car to put the paint on.
When you buy the Dash-9 from Steam, this .geopcdx file will exist in the Dash9 folder, and then you can copy it to the repaint folder.
This file is the shape file, it is the locomotive itself. It is the proof that you have legally bought the Dash9. No repaint will ever contain it.
If you already own the Dash9, the readme should tell you where exactly to find the geopcdx file.
I think there are more than one Dash9 available, the readme should tell you which one the repaint is for.
Although it is probably for this one:
http://store.steampowered.com/app/208356/Aren't you lucky, it is now on sale for $9.99.
It'sprobably what you want, because it says on Steam: The Dash 9 locomotive in 6 colour schemes: BNSF weathered, BNSF clean, War Bonnet weathered, War Bonnet clean, Norfolk Southern and Canadian National.
I think a SP Dash9 also comes with the Donner Pass route.