This is for Mr Sheep but here for anyone else who needs it. Cache is the name for the files you download from a server. This includes maps, mods, sounds etc. UT is programmed to delete these files every 30 days as a standard setting. This means if you play on the same server often, you will have to re-download every map/mod etc every 30 days. This little tweak will make it so you never have to download the same map twice.
Configure Cache
Close UT then open your ut2004.ini file located in system folder (C:\ut2004\system or C:\steamapps\common\unreal tournament 2004)
search for PurgeCacheDays, should be near the top. iirc the default setting is 30, this means every 30 days your cache files are deleted. change this number to 0, 0 means it will never be deleted. Save the file. now you can go play again.
Example.
[Core.System]
PurgeCacheDays=0
Done.. that's it

Convert cache to installed mods/maps etc
This is for if you wish to play single player maps that you have downloaded.
Go to your Cache folder (C:\ut2004\cache)
Inside you will find 2 types of file,
- cache.ini (opened in notepad, this tells your UT game which files have been downloaded and their new name.
lots of .uxx files - these are the maps/mods/sounds/textures you have downloaded from the server.
Open the cache.ini file
Pick a map you want, such as Achilles.. (my cache says its called this - 41DC369D43B02F6411CE75B26A5C4022-1=DM-CBP2-Achilles.ut2)
Find the .uxx file that matches (in this case 41DC369D43B02F6411CE75B26A5C4022.uxx)
Rename it DM-CBP2-Achilles.ut2
Now put it in the correct directory. (UT2004\Maps in this case, textures for textures, sounds for sounds etc, match the file types)
load ut and it will be playable in single player

Programs to install cache files
you can also use programs to do this for you, such as,
http://gamebanana.com/tools/2025
https://buttdroid.itch.io/unreal-tourna ... -extractor
Sheepy
My advice for you sheep is to set cache to 0 as above, then open cache.ini and delete everything except the top line "[Cache]". you will have to re-download everything again, but at least its a clear start. if you do this you can also delete all the .uxx files to free up some space, i bet you have quite a few in there by now..