Here's a primer on SF folder structure.
For first generation SF (including Wings Over xxx), you added mods directly to the folder structure. Therefore, if you download a mod designed for SF1 or its variants, you will likely get instructions to drop it in your main folder.
For SF2 and its ilk, the main folder is only for official files. For each version you have (e.g. SF2E and SF2NA) you will have an EXE for it in the main folder. Run that EXE and it will create a folder tree under
So for example, if you run StrikeFighters2 Europe.exe, it will create a folder tree called
C:\Users\yournamehere\Saved Games\thirdwire\StrikeFighters2 Europe
All mods always always always
go in your saved games folder, which is commonly known as the SF2 Mods folder. This is actually a great way to set things up, as you can add mods without risking your original install.
The other thing you can do that is handy is copy your EXE file and rename it to something else. This is great for total conversion type mods like Scandinavian Front and Desert Storm. Just copy the file and rename it (for example) StrikeFighters2 ODS.exe, and when you run the EXE it will create the folder tree
C:\Users\yournamehere\Saved Games\thirdwire\StrikeFighters2 ODS
This allows you to have multiple mods that may otherwise be incompatible with each other, and it's a great way to have your cake and eat it too.
EDIT: One more thing: the EXEs are functionally identical, and you can access all stock aircraft and campagigns from any of the EXEs. The only difference in EXEs is which mods are installed to which mod folder.
Hope this helps.