Well it´s simple, go to the folder where your Rome directory is located, in my case, for example, its: c:/programs/games/
Then you select the folder named "Rome - TW" (or whatever name you chose when installing) and copy-paste it with CTRL-C/CTRL-V. It may take a while, then thee should be a folder named "Copy of Rome [etc]."
That´s it. That folder you can rename (according to the mod you´re going to install is a good idea), and install the mod there (that´s usually a "data" subfolder which needs to be copied into the Rome folder).
Enjoy