If you downloaded the "all-in-one" install then a lot of the existing mods were included already.
In general, they'd be replacement files to put into the arena2 folder, so I'd go about it this way. Unzip/unrar/unpack the file into a temporary folder and see what you have. Copy the matching original files (or the whole lot of them) to a backup folder just in case you don't like the mod, and then copy the new ones in.