you gotta go to
C:\Users\Username\AppData\Local\Ironclad Games\Sins of a Solar Empire\Mods
(put your username in place of "Username", and its possible that "Users" isn't there) and stick it there. This is for Vista.
You must ensure that the mod you are downloading is compaitble with your current game update, and you must also enable the mod in-game. this is done in the options area. there is a button for them on the left side.
one level up, you can go to the other things, like recordings, screenshots, custom maps, etc.