Please stop starting multiple topics asking the same thing. For the record, when I type "download help" I get 20 pages of help, so it
does exist.
Okay, have you downloaded any animals before through the game? Example: Musk Ox. If you have not downloaded any of the
official animals through the game, then that folder will
not exist.
Your other option is to put all files into C:/Program Files/Microsoft Games/Zoo Tycoon 2 (basically, the place where it installs to). They cannot be in any folders though, if you put them in there.
There are
two tutorials on this site that outline how to install the downloads. Please refer to both again just to make sure you have not missed a step:
Tutorial 1Tutorial 2Also, please review the tutorial on how to use the Search Feature
Search Feature Tutorial