Then go to Settings > Workarounds > BSA Redirection and toggle it. After installing it, log in, and select New Vegas as the game you're modding. I highly recommend Vortex since it has a great UI and is very easy to use. These tools automatically handle most mods' installation, so you don't have to dig around in-game files - simply drag-and-drop compressed mod files, and the mod manager will do the rest.
The first thing you need is a Nexus Mods account, the website where most mods are posted.