Once you out the new file there, Windows will let ask you if you like to overwrite the files, which you should respond by pressing 'OK'. However, if you are using steam to download your game then it will be located somewhere within the steam folder. For example, it can be something like D\Program Files\Games\Fallout New Vegas\Data. Once you download the files, just place them into the 'Data' folder which you will find the directory where you have the actual game installed.
In fact, it works in a similar way to pretty much anything that you install outside the automatic downloaders. That said, installing this mode into Fallout: New Vegas is a pretty easy thing to do. Fallout is a pretty cool game that lets you explore a vast amount of land in search of new cool things.
