You're probably looking in the wrong folder. You want to go to your Programfiles\RockstarGames\GTA IV folder, or if you use Steam youd go to your ProgramFiles\Steam\Steamapps\Common\RockstarGames etc folder. Where did you get your copy of the game and what OS are you using?
There are also plenty of modding tutorials on the forums. Look em' up. Also, most mods come with install instructions.