You simply download mods off the internet, one of the best hosting sites being Skyrim Nexus. Many mods require installation via mod managing software, which you also download from the internet - Skyrim Nexus should also help you there, and if you check the Skyrim Mods subforum you'll see threads on mod managing software (in fact, you should head over there right now to read up on everything regarding installing mods.
It isn't as complicated as it first seems, most mods do provide installation instructions. Beware that you can't just install all the mods you want, as some will be incompatible with one another (mod managing software exists to 'sort' the load order of mods, as that is usually the first place where conflicts occur - if two mods change the same thing, then the last one loaded will be the one to have any effect).