This Tutorial Also Works With Oblivion.
PC Only :p

First Off,your going to want to download the fallout mod manager*FOMM*
Or If your Modding Oblivion-Oblivion Mod Manager*OMM*

They Can me Found:
FOMM
OMM

Now Your going to want to get your Fallout 3 Mods Here

And Your Oblivion Mods here

Now what your goind to do,download your mod.
Extract the ESP File*and all the Textures meshes and sound folder,if any,to the Data Folder*
YOur Data Can Be Found At:
C:/Program Files (x86)/Bethesda Software/Fallout 3 OR Oblivion/Data

If Your Running the Steam versions Its:
C:\Program Files\Valve\Steam\steamapps\common\Fallout 3 OR Oblivion/Data

Now Load your FOMM Or OMM And Chose The Mod You want to use.
Click The Box to enable a BLue Check inside of it.
Launch Fallot/Oblivion.

This Can Also Be Done From The Data Files On THe Oblivion And Fallout Launcher,but files over 100mb are recomended to be launched from the managers.