I'm not sure I understand game mods. What are they, new levels? New weapons or just make the graphics look better?

Should I try game mods or not? If yes, how should I install them?

There's install instructions for all files on Crymod's DB

Definitely give some a try. Some will absolutely blow you away with awesomeness.

And so I won't have to make a new thread, I'll just post my query here: How exactly do I use this bokeh depth of field shader? It gives me a .cfx file and I have no idea what to do with it

http://www.crymod.com/thread.php?postid=702687#post702687

Please forward all modding related enquiries to Crymod

Different mods install in different ways, you don't put graphic mods in a map for example, so you should firstly ask the creator/s of the mod/s

The instructions are always included with the mod files in some sort of text document. Installation for any mod is always pretty straight forward.

The instructions are always included with the mod files in some sort of text document. Installation for any mod is always pretty straight forward.
That's quite often not the case as that's completely up to authors of the files, whether they include a 'readme'. There are, however, always installation instructions in the DB entry itself, tailored to the type of file and the required steps to make it work