mod folder?

i dnloaded enhanced 4x 1.85 says i need a mod folder to extract to.  i have the os set to reveal hidden and i cant see the folder? could it be a steam thing? ive never been able to make a mod work with a game i got at steam for whatever reason.  Did i misinterperate what they ment by mod folder? ive made many game mods work over the last 25 years seems odd nothing will work with steam not even quake 1 bots!