If you can't see the AppData folder, make sure you enable "Show hidden files and folders" in your Windows Explorer settings
It's hidden by default. The path is there, the game uses it for its user settings, saves, etc - so it can't not exist
Also make sure you're running the latest version, 1.0 had no mod support so in there actually isn't a Mods folder in the path.
.. I think that about covers everything that it could be 