Are you talking about 'stock' (unmodified) SHIII or GWX. If it's GWX you should be able to see this in your main game folder:

I don't kniow if it's in the 'stock' version as well, I have never played that. I installed the original GW version right from the start.
Any instructions for installing the mods tend to be in a 'read me' file in the mods own folder. Place any mods in the 'Mods' folder in the main game folder. When you activate the JSGME it will read the mods in that folder and show them on the left side, available for activation.