Jim, I would guess you don't have the latest patch (1.49) installed. If you have this patch, just download the TDM-ModPack and unzip it into the SE4 folder. If everything worked correctly, you will see a text "Using the TDM directory" on the top right corner of your screen once you launched SE4.
Gold includes a modpicker that will handle all this stuff for you once it is installed. So, there is your menu picker. Have fun!
