Not sure about " MODS folder in the Data folder."
You should simnply put JSGME.exe into the root directory of SH4. Then run it (double-click). That will create the Mod folder and the backups.
Then you just move/copy the mods you want in to the Mods folder - ensuring that they are in the correct format ( e.g. nested folders within a "data" folder.)
Once the mods are in the Mods Folder, re-run JSGME.exe and use the small screen to activate them - just highlight and move to the right-hand column.)
Then run SH4.
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