That's quite a vague request...
So, I assume you started the game using loader.swf, and I assume you used the normal loader, not a loader pack (sby's loader pack is worth trying).
Once the game is started, you should bring the menu / option pane. For that, you have two options: put your cursor at the bottom middle of the screen, then you'll see a little upwards black triangle and click on it.
I believe the keyboard shortcut for that is "y".
To load a mod you downloaded, go to the "Modding" tab, then click on the Import "Swf mod...", choose the mod file on your disk and... ta daa.
If you're still confused, try to better explain your situation, like I use the loader version XXX found at <this link> and I try to load mod XXX found at <this link>, but I'm stuck at step XXX.