What mod are you using? They usually have somewhat detailed setup instructions.
The basic idea is to place a folder in your EU2 installation. Inside this folder, the structure is almost the same as the structure in the EU2 folder: you can have a folder called "config" with a text.csv file, you can have a folder called "db" with database information, etc. Any files in these folders will override any file in your standard EU2 folders that has the same name. For example, you can have a file called "{EU2 directory}\mymod\config\text.csv" that will override the normal "{EU2 directory}\config\text.csv".
The only other step you need is to make a shortcut to EU2.exe. Right-click this shortcut and select "Properties". Select the "Shortcut" tab. In the "Target" field, you will see something like "{EU2 directory}\EU2.exe". After this, add in "{EU2 directory}\mymod" (or whatever your mod's name is). Use this shortcut to launch EU2, and you should be good.