Sorry to hear you're having troubles, good news is you have all the correct files downloaded.
You need to extract DS_Entrenchment_Alpha_0.4 (the full version) in to the:
C:\Documents and Settings\YOUR WINDOWS USERNAME HERE\Local Settings\Application Data\Ironclad Games\Sins of a Solar Empire\Mods-Entrenchment v1.02
folder, Which should then create a new directory inside this folder called:
DS Entrenchment Alpha 0.4
Once you have that, Extract the Alpha 0.45 Patch over the top of the 0.4 folder (or extract it in to a new folder and then copy & paste it over the existing 0.4 directory) overwriting any files it asks you to. If you havent been asked to overwrite files then something has gone slightly wrong & try again.
Once you have done this it should work perfectly fine with Entrenchment v1.02!
I will be making a new full download shortly for all to use if you are still having troubles.