Well, WHAT mod did you download? Not all mods are installed the same way. Look for a readme file or look at the author's site/forum posts somewhere. For one example, a few mods like the Blackmarket unlocker you have to go to your Just Cause 2 directory and make a "dropzone" folder to put the mods in... --- PC: http://i305.photobucket.com/albums/nn233/cody4783/cody4783.jpg
All you have to do is read the directions on the readme files provided with the mod. Usually the process is the same for most mods for the game, so if it isn't stated explicitly, try looking at other mods for clues.