Most mods will have the entire game, so you just unzip it and play it.
But, in the case that the mod does not contain the game... generally you need an unmodded copy of the original free version, and then put the mod into the unmodded copy where it should overwrite files.
Basically the game folders are setup like:
INSERT_GAME_NAME_HERE -> Data
Data -> Stage; Npc;
(Profile.dat btw is the game's standard save file, it belongs in the INSERT_GAME_NAME_HERE/Cave Story folder, or whatever it is called.)
If a mod is looking for a "mods" folder:
That belongs in INSERT_GAME_NAME_HERE or Cave Story folder, or whatever it is named. Try that. If that doesn't work...
You'll probably need to download the dll mod loader first. Then overwrite "mods"...
https://www.cavestory.org/forums/threads/dll-mod-loader-alternate-music-mod.13879/
But this is only required if the mod somehow requires the dll mod loader and is not including all the "mods" files...
Just in case: Wind Fortress does not exist in the free version btw. That would be Cave Story+. Most mods are meant for Cave Story.