I'm new to Fallout on the PC and I downloaded a mod from the Nexus. The problem is that once it's in my files I don't know how to actually get it in the game itself. I don't even know if it worked or not. Someone tell me how to properly install it after download please.

launch the fallout launcher, click on data files and activate it, although you should probably download this http://www.fallout3nexus.com/downloads/file.php?id=640 read description for details

Make sure you get http://www.fallout3nexus.com/downloads/file.php?id=640 (Fallout Mod Manager), then open it and check any plugins you want to load. Depending upon what the mod does, it might or might not be immediately evident that the mod is actually loaded and working, but if, when you next open FOMM after playing, the plugin(s) are still checked, then you know they are loading and have been added to the game's Plugins.txt file.

While you're at it, get FOSE. FOMM will use FOSE to launch Fallout 3, and FOSE is required by some mods too.