Are you using JSGME? If so then they go in the MODS folder under your SHIII default folder with the exception of sh3ultimateunlocker which is a separate executable file that you run outside SHIII and therefore doesn't matter where you put it.
If you are not using JSGME, aprat from making your life difficult when changing mods, you should find the details in the readme.txt files that should accompany the mod.
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