First, Install the game from the CD.
Then, ..unzip the mod file inside a folder, with internal dir structure (if the zip have dirs, dont kill these!).
Most mods will expand to one .esp file, and a few dirs. Move that to the "Data Files" directory. That directory already may have some esp files.
That where other mods. If you need to overwrite files, do it for readme, etc.. but avoid overwriting old mods :D (renaming is Ok).
Then you need to start Morrowind from the launcher (this is "Morrowind Launcher.exe" from the parent dir), go to "Data Files", look into listbox, and check the name of your new mod (will be added to all other mods).
The new mod will change your future savegames, so removing the mods May (or not) break these savegames. If everything goes wrong, try to click "yes" and "follow", and avoid "no". If you sucesfully loaded a savegame, often saving to other name can fix everything,... loading from the new savegame will not show warnings.
This is my first Tutorial. Sorry for his crappyness and my bad english.