Hi, welcome.
What version of OS X are you running? If it is OS 10.7 or greater then you must have that folder. Are you sure you are looking in the correct Library folder? It is a hidden one inside your Home folder, and its full path name is /Users/<your user name>/Library/. If you hold the alt/option key down when you click on the Go menu in Finder, it will appear as an option in that menu.
Please note that, if you have the App Store version, it is very unlikely that it will run mods even if you can find the folder and get it to display the Mods menu. As far as I know, Apple do not accept software for the App Store that allows installation of non-App Store scripts, and this means that Aspyr has had to disable mods in that version.