It's the usual but you may want to read further if you are new to this or unfamiliar with the folder\file heirarchy of MSTS.

Extract TEHWalong.zip to a temp or empty folder
Therein you will find the following:


1.  Routes folder:  copy and paste into the Train Sim installation containing the Tehachapi PassII route.  It should not overwrite anything.
Inside the Routes folder is a folder named 3DTS_TEH2 - this should be the same as in your installation.
It will copy the following files into the proper folders
Activity (.act) into ACTIVITIES folder
Paths (.pat) into PATHS folder
Services (.srv) into SERVICES folder
Traffic (.trf) into TRAFFIC folder

example: C:\MyTrainSimInstall\ROUTES\3DTS_TEH\ACTIVITIES
           .................................. \PATHS
           etc.

2.  Trains folder:  copy and paste into the Train Sim installation containing the TRAINS folder (same installation address as above)It should not overwrite anything
The TRAINS folder contains a CONSISTS folder with all the consists (.con) needed to run the activity.  These will be pasted in to TRAINS\CONSISTS folder.

example: C:\MyTrainSimInstall\TRAINS\CONSISTS

If you prefer you can open up the folders and manually paste all the separate files into their respective folders.

So to recap:  
Copy and paste Routes and Trains folder into the Train Sim installation containing the Tehachapi Pass II route and everything will be in the correct place.

Normally in Win XP C:\Program Files\Microsoft Games\Train Simulator, installation locations may vary.

Install Folder and File information:  The following files will be copied to these folders:  They should not overwrite anything, always best to check.
3DTS_TEH2  ROUTES folder
1. ACTIVITIES folder: Night Freight West down Tehachapu Pass.act
2. PATHS folder
   TEHWalongPlayer.pat
   TEHWalongTrf.pat
   TEHWalongTrf1.pat
   TEHWalongTrf2.pat
3. SERVICES folder
   TEHWalongPlayer.srv
   TEHWalongTrf1.srv
   TEHWalongTrf2.srv
   TEHWalongTrf3.srv
   TEHWalongTrf4.srv
   TEHWalongTrf5.srv
   TEHWalongTrf6.srv
   TEHWalongTrf7.srv
TRAFFIC folder
   TEHWalongTrf.trf
   
TRAINS\CONSISTS folder
    TEHWalongPlayer.con
    TEHWalongTrf1.con
    TEHWalongTrf2.con
    TEHWalongTrf2a.con
    TEHWalongTrf3.con
    TEHWalongTrf3a.con
    TEHWalongTrf6.con
    TEHWalongTrf7.con