You need a "mods" folder in the folder you installed Dominions2 into, e.g.:
dominions\mods\ <= put dm file here, unzip the folders in the zip file here as well:
dominions\mods\oceania <= the tga files should umzip here
dominions\mods\oceania\oceandata\ <= and here
If your unzip-programm can't unzip complete folders, I would suggest using 7-zip (
www.7-zip.org). It's free, it's opensource and it comes with the native .7z-format that is up to 50% more efficient than .zip. And there's a Linux version, but that's command line only atm. ...
edit: .. gnnn.. too slow, 2nd winner only 
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