Could I get some direction as to where I need to drop the custom scenery I download? It's been a while. Some instructions would be awesome!

Put it in your style themed folder. If you're on PC (windows) the directory should be something like: C: Programsx86: Atari: Style: Themed

When I put CSF Rock Set in that directory and try to open it, it locks up and gives me a "No :svd for :sid"

Check the readme in the download, you may just have to re-download the files.