HOW TO CREATE A MOD FOLDER: Open your Combat Mission Battle For Normandy folder...go to the data folder...If you do not have a z folder in your data folder...create a folder, name it z and place it in your data folder. 
It's that simple. All your mods will go in the z folder. 

WHAT CAN I PLACE IN THE Z FOLDER?: Brz files, BMPs and WAVs, Text files, and any folders containing the aforementioned.