Mods should be installed under the Blitzkrieg\Run\Mods directory. Some installations will prompt for that directory, however, other installations might prompt for the Blitzkrieg\Run directory. Carefully read the install info on the mod page to get a proper and easy installation. In case you fail to load a mod, double-check your directory tree. It should be: Blitzkrieg\Run\Mods\Mod Name\Data\...

The above does not apply to the Blitzkrieg Steam version which has a different directory tree, something like Program Files (x86)\Steam\SteamApps\common\Blitzkrieg Anthology\Blitzkrieg\Mods\...

Some downloads offer an .exe-file, only because they were originally compiled like that, and will prompt to install right away. In case you want to download the .exe-file itself, right-click on the link and select Save link as...