Usually you have to do nothing, the modification (mod) will have its own installer or unzip to its own folder. If a mod does not appear in the mod menu try the following:

1) Create a new folder in your main Quake4 folder
2) Rename the folder something recognisable
3) Copy the files for the mod to the new folder, these usually consist of .pk4 files
4) Load Quake4, under the mods menu you should now be able to select the mod you wish to play