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Each mod can be a little different in how to install them.

The bottom line is this :

- create a folder on your machine (on your desktop for instance). Call that folder 'Install'.
- once you download a new mod, extract the files to that Install folder.

Now look at the Install folder.

.esp / .esm files need to go directly into Oblivion/Data folder.
Any folder such as : meshes / textures / sounds need to go into Oblivion/Data as well.

Basically, if you see a folder that already exists in Oblivion/Data, you will have to copy the content to that folder.

Now, depending on the way files are archived for a particular mod, you will find some of the following situation once you extract your files into Install:

Install / / Data
or Install / Data
or Install

You will have to explore the Install folder and find the right files and folder that you will have to copy into Oblivion / Data.