If you downloaded a mod it goes in:
Vista:
C:\Users\Username\AppData\Local\Ironclad Games\Sins of a Solar Empire\Mods
XP:
C:\Documents and Settings\Username\Local Settings\Application Data\Ironclad Games\Sins of a Solar Empire\Mods
Please note that some of these directories are hidden by default. To unhide them, go to Control Panel -> Folder Options -> View and set yourself to view hidden files and folders.
If you're talking about the Forge Tools, a few need to go in the Sins install directory.
