@Brian: You'll probably have first to enable it via the Object Set Filter list, and check the boxes of the correct Developer folder before it will appear as a loco or rolling stock that you can add to your scenario.
For the Challenger, it should be in the Developer folder for "IHH", then check the boxes there for "US RailRoads".
The challenger-loco comes in 3 parts (Front, Engine and Tender), so is a little different than other most other Steam-locos for RailWorks in that regards.
For an old tutorial-video I made of me placing a Challenger loco on a freeroam scenario, see my site here:
http://www.rryard.com/videos.htmlAnd towards the bottom you'll see a video, "How to add 'The Challenger' to a Scenario".
By default I think it's the UK locos and stock that are available to choose from when making a new scenario.
To see the list of default US stuff that comes with RailWorks, find the Kuju folder and RailSimulatorUS boxes there.
For a trainset addon you get, check the ReadMe or Docs that might come with it, and it may also give info about what is the correct Developer folder to have checked for it.