Hi Bryan,
If the installer completed check in \scenery\world\scenery for "dem19m_ON_N.bgl" and "dem19m_ON_S.bgl" If they are present and no errors when you start FS2004, the files made it to their proper destination.
If not, please clear your browser cache and redownload. If you still experience the problem, try downloading without using a download manager. If you still experience problems, try downloading the manual zip files.
thanks
jt/fsg