The tree of folders for SE4 should look like the following:
code:
C:\ -- Malfador -- SE4 -- AI
| \-- Data
|\--- Pictures
|\--- ...etc...
|
|\--- TDM-Mod -- AI
| | \-- Data
| |\--- Pictures
| \---- ... etc ...
|
|\--- Pirates&NomadsMod -- AI
| | \-- Data
| |\--- Pictures
| |\--- ... etc ...
\---- ... Etc ...
Where each mod is in its own folder inside SE4, and has a very similar structure to the Main folder.
Most mods you can open with Winzip, and "extract" to the Main se4 folder. They will automatically create and install into their subfolders as above.
Read the readme.txt included in the Zips if in doubt.