Follow the instructions usually included in the mod. Usually this involves unzipping an archive and copying files to c:\programfiles\firaxisgames\sidmeiersciv\mods\<modname>. If special maps are included, these belong to the publicmaps folder.
If in doubt, ask the author on the mod forum. Somewhere here:
http://forums.civfanatics.com/forumdisplay.php?f=171