That way, if a mod doesn't work out you can uninstall the whole thing with one click instead of hunting down the individual files in your game data), and Nexus Mod Manager to adjust the load order (because it is way simpler to do it there instead of with Wrye Bash). I use Wrye Bash to install my mods (it has a special folder where you can drop in the zip files.
The Nexus also has lots of articles and tutorials all about how to install and even make your own mods. If you are getting your mods from Oblivion Nexus (the only place I get my mods from) it should tell you in the mod description what you need in order to have the mod work. Are you sure you made an x-mark next to the name of the mod under the data files tab of the start-up game menu? Also it is important to make sure you have the correct game patches and any other mods that the mod you are trying to use depends on.
