1) Put all the mod files into your user directory, which is
Vista:
C:\Users\username\AppData\Local\Ironclad Games\Sins of a Solar Empire\Mods
XP:
C:\Documents and Settings\username\Local Settings\Application Data\Ironclad Games\Sins of a Solar Empire\Mods
For example, if your mod was called "Test", the most basic setup you would have is \Mods\Test\GameInfo
You might have to show hidden files/folders to see the whole path, and note that you need the whole GameInfo folder there, not just the files you're modifying. Obviously if you download mods you don't have to worry about it.
2) That's a tricky question. The way modding works in Sins is there's a file for pretty much everything. Supply cap modding uses a bunch of research files and gameplay constants, so those are shared, but the Advent and TEC frigates are separate. So if you try to combine them in that way, the supply cap changes from one mod will overwrite the other, but the frigates use different files so you'll get both.
In general, I wouldn't recommend mixing mods by brute force like this, and definitely not if the mods have the Strings folder in them because then the game will crash since you'll have the strings from one mod but not the other, and to make a mod with everything you'd like in one go. You could also request a mod you like, and maybe someone will make it for ya.
Hope this helps