TripleA has the capability of automatically downloading maps from a properly configured website, using the download maps function. Note that the scenarios are placed in Documents & Settings/TripleA, so if you want to play on a USB stick, you will need to copy them over to the directory where TripleA is installed..
Copy this url into the download location box http://downloads.sourceforge.net/project/tripleamaps/triplea_maps.xml
This is the most thorough source for downloadable scenarios.
For conventional downloads use this site http://www.rogercooper.com/AxisAlliesTriple-AComputerVersion.htm
This has mostly the same contents, plus some older scenarios, non-TripleA games and some other files.
When downloading directly put the zip file directly in the maps folder. There is no need to unzip, but if you unzip, make sure the directory has the same name as the file.
Note the some files may have an Info Name that is different than the zip file, so take a look at your scenario list to find it.