OBMM (Oblivion mod manager) or BAIN (part of Wrye Bash).
Oblivion mod manager is easier (installs files that are in omod format). You can get the OBMM installer here. http://tesnexus.com/downloads/file.php?id=2097
Take some time and read through the manual.
If the mod is not an omod or omod ready (where you have to create the omod), the manual will tell you how to make one.