air files contain the info for how the plane flys.
the cfg files do somthing... I have no idea actually... damn...
the dp file contains all the weapons info for that plane. you can edit it to give your plane more guns, rockets, bombs etc.
the cdp file is related to the dp file in some tedious way. it needs to be deleted for changes in the dp file to work. the cdp file is automatically remade when you start CFS2.