In Windows Vista and 7 it is

C:\Users\(your name)\AppData\Local\Ironclad Games\Sins of a Solar Empire\Mods-Entrenchment v1.03 (or version you have)

for vanilla its \Mods-v1.17 (or version you have)

For Windows XP: not sure.

AppData will most likely be hidden, you will have to make all files visible.

im able to get to C:\Users\admin\ but i dont see appdata, how do i make it visable?

AppData is a hidden file, go to folder options and under the view tab (it may be called something a little different in Vista), and under Hidden files and folders, click on the Show hidden files, folders, or drives.  Then click ok.  

Some mods do require Entrenchment, but not all of them.