Welcome & enjoy, take a minute & look at the rules & check out the layout of the site.
As for your question, start w/ the tutorials at the top of each mod page, that should get you off on the right track. If you
still have problems, post in the appropriate forum & briefly describe your problem. Include the game (GTA3, VC, etc), &
version (if SA), what mod you're installing & the problem you are having (freeze, crash/kickout, etc).
If you're new to GTA, remember saving after using a cheat will probably screw up your game.
Backup every file you plan to edit before you start, so if a mod is bad you can fix w/out having to reinstall the game.