Will these work together?
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Train Simulator 2020 is the host game. You need that to run all the add-ons.
The Western Mainlines Extension Collection is a set of add-ons for the Western Mainlines base pack which is, in turn, an add-on for TS2020.
So, you need Train Sim 2020, then Western Mainlines.
https://www.justtrains.net/product/western-mainlines-the-complete-collection