Each mod usually has a readme in it for installation instructions.
As for GWX and SHC, you should read the threads and the FAQ's about them for all the answers your looking for (
http://www.subsim.com/radioroom/forumdisplay.php?f=195). GWX comes with JSGME which will allow you to install the other mods.
GWX is something like 4 gb, so you better start soon, so you can have it ready to go when you get SH3 installed.
I would recommend doing the tutorial missions on stock first, and then installing GWX, as a couple of them become VERY difficult with GWX (12 Airplanes!? WTF GWX, yer trying to kill us!).