My problem is, there is no data folder.
None, zip, nada.
It's not there. There's a saves folder, in the FalloutNV folder.
That's it.
You're looking in the wrong place.
You want your steam/steamapps/common/fallout new vegas/data folder.
By default, this is usually C:\program files\steam\steamapps\common\fallout new vegas\data.
If you really can't find it, you should have your computer search your hard drives for FalloutNV.esm; Wherever they find it is your data folder.
C:\Program Files\Valve\Steam\steamapps\common\Fallout 3
That's the location of the steam version of Fallout 3. If you've got FO3 installed, that should have its own data folder where you'd put FO3 mods. In your steamapps\common folder you should find a new vegas folder, which will have a data folder in it.