You can delete the empty folder Morrowind\Data Files\Data Files. It's probably a residual of a failed install of a mod. No mod ever tries to access a Data Files folder within the regular Data Files folder.
There are several Dremora mods out there (or the same mod packaged differently), so I'm not sure which one you got. If you give us the link from where you got the mod, we can give you detailed instructions on how to unpack it. Usually though you'd just check whether the archive contains a "Data Files" folder - if yes, copy that folder into your Morrowind directory. Otherwise, if there are folder called "meshes", "textures" etc. in the archive, or just esp/esm files, mark all files and folders in the archive and copy them into Morrowind\Data Files. If there's a mixture of esp, nif, and dds files in the archive, then you have to manually sort them into the folders they belonmg to, but that's rare for finished mods.