When you download a mod, you simply have to extract the files into the various parts of your Glest directory. They're all fairly self-explanatory, but here they are:
New tech trees and factions go in "techs", new maps go in "maps", new scenarios (NOT the same thing as maps) go in "scenarios", and new tilesets go in "tilesets". When people refer to a mod, they usually mean a new tech tree, although it could technically include any of these things. If a mod has any special way of doing things, it usually comes with a readme file that will explain what to do.
On Windows, the Glest directory should look something like this: C:\Program Files\Glest_3.2.1\ and on Linux, it normally looks like /usr/shared/games/Glest or something close to that. Then when you start up Glest and you go to New Game -> Custom Game, where it normally says something like Map: Four Rivers, Tileset: Dark Forest, Tech Tree: Magitech, you can use the arrows to switch between regular Glest content and anything that came with any of the mods you downloaded. The only exception to this is when running new scenarios, you just go to New Game -> Scenario, and use the arrows to navigate to the scenario you downloaded, which already has a tech tree, map, and tileset chosen for it.
Have fun!