I downloaded the repaint and had the same problem as you, when I tried the installer. It goes through the motions, but the files do not show up in the proper Assets folders.
I copied the files manually to railworks and was able to load the repaints. Possibly the the easiest way is to copy (or drag and drop) the railworks folder (inside SD40-2_HLCX_blue.zip -> HLCX_blue) to the ../Steam/SteamApps/Common folder.
After doing this, I was able to load the repaint. (Very nice, by the way.)
Hope this helps.
Mike Adams