Comments - koogco

it depends on the mod.
a half life 2 mod (as an example) you place in (or installed to) your steam/steamapps/sourcemods folder. and then they can just be started from steam instead of the original game.
other games have the option of sellecting which mods to include when you start the game.
mostly, the website, or a textfile comming along with the mod tell you how to do.