No, first you have to unpack your TMO download. Use 7zip
http://www.7-zip.org/download.html
Once unpacked it's a good idea to move the documentation folder away from the TMOfolder.
Download and install JSGME into your SH4 folder. Run it once and exit.
This will create a folder next to your SH4\Data-folder named MODS.
Now copy your unpacked and cleaned TMO folder into the new MODS folder.
JSGME is found here:
http://www.users.on.net/~jscones/sof...cts-jsgme.html
If you look in the documentation folder from TMO, you'll find a bunch of optional mods there.
Please read the TMO manual now you're there... and then select if you'll want to use any of these optionals.
Don't hesitate to report back if you encounter any problems!
Good luck!
/edit: don't forget the beta patch
http://www.gamefront.com/files/17240...eta_update.7z/