Two dumb newbie questions

[Suicide Junkie]

All of the files for each race should end up in a folder of the same name:

IE:
SE4\Pictures\races\Klingons\ *any files starting with "klingons_"
SE4\Pictures\races\Federation\ *any files starting with "Federation_"

Most zips of mods and shipsets will have that path info built in, so you can "extract to..." your SE4 folder, and they'll slot themselves in properly.