Europa Universalis 3 (Help)

I recently bought this game, then I moved, so my copy is somewhere in the the Pacific on a boat with the rest of my things. Anyway, I did not want to wait for it to get here (I didn't get a chance to play it before I moved), so I downloaded a copy of the game, now when I play, I cannot build naval transports! I just cannot, what are they called? Where do I buy them? I tried using cheats to go up to research level 35 unlocked all the ships, but nothing called transport? Is it called something special? Or is it just a bad rip of the game?