Hey I was wondering once I download the mod to my desktop it says to...

Extract the 'Sins Plus' folder into your Mods Folder for Sins of a Solar Empire, at:
C:\Documents and Settings\**YOUR_USERNAME**\Local Settings\Application Data\Ironclad Games\Sins of a Solar Empire\Mods


but the only problem is I have no mods folder anywhere on my computer and that file that they give to go to doesn't exist on my computer either.  How can I add that folder or find out how to add the mods.  thanks in advance.