Did you download the files and what not through Steam? Sometimes the workshop can be silly and not put the files where they are supposed to go.
If you did download them through the workshop, go to your steamapps>workshop>content folder, and the files should be there. You will have to manually move them to your Neverwinter Nights directory in your 'My Documents'.
Easiest way around this is just to fresh install, and manually put those files where they need to be.