No worries, there's no such thing as a dumb question - only dumb answers...
The first time you run JSGME, it'll create the 'MODS' folder automatically. Simply place the JSGME.exe in your main SH3 directory and run it. Once that's done, you should click on 'Tasks...' and select 'Generate snapshot of game files.' This often comes in handy down the road in helping to identify changes as a result of enabling and disabling various mods.
After that, copy the new mod into the 'Mods' folder and run JSGME again to activate. Last but not least, enjoy the nifty modification!
