Even though that's not really advisable because of its kind of ruins the game, many people are using tons of mods in order to make their game unique. If you are reading this, chances are that you probably either use or at least have the plan to use a lot of mods. That's why just play it safe and create your copy. After all, the last thing you would want is to lose all the progress you've made throughout the game just by screwing up something. That said, it is definitely advisable to make your own copy of the Data folder before you start modding your game because you never know what will happen. Once you out the new file there, Windows will let ask you if you like to overwrite the files, which you should respond by pressing "OK". However, if you are using steam to download your game then it will be located somewhere within the steam folder. For example, it can be something like D\Program Files\Games\Fallout New Vegas\Data. Once you download the files, just place them into the "Data" folder which you will find the directory where you have the actual game installed. In fact, it works in a similar way to pretty much anything that you install outside the automatic downloaders.
That said, installing this mode into Fallout: New Vegas is a pretty easy thing to do. Fallout is a pretty cool game that lets you explore a vast amount of land in search of new cool things.