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You normally have to download them from somewhere - typically you'll find them on the mod subforum - and extract them in the right place. Most mods will have instructions on how to do that.
 
If you're viewing this thread, look at your opening post, then look up about an inch directly over your question: "Howwww do i get mods" to where it says, "User Modifications".

The alternative would be to check out a modding site, such as Nexus. Doing an internet search for "Victoria 2 mods" might be another approach.