I don't know how to make things on the construction set. :banghead:
Oh and if you know of a good free site to download mods on then please tell me.

For mod downloads, you can check PlanetElderScrolls (free, although it requires a free account) and TESNexus (not as many mods as PES, less selection).

To make things in the CS, well, that all depends on what you're doing. I'd check out this page though, for some pointers:
http://tamriel-rebuilt.org/?p=modding_data/tutorials
Particularly this one:
http://tamriel-rebuilt.org/?p=modding_data/tuts/dsong/first_room

Also, read the http://www.gamesas.com/index.php?/topic/24-comprehensive-tutorial-and-useful-link-list/

And http://www.gamesas.com/index.php?/topic/1060141-mod-recommendations-for-new-players/page__p__15392814__fromsearch__1&#entry15392814 will help get you started using/finding mods.