How To Add A New CS+ Mod

Alright, first off.
There is no way to add another mod to the main menu outside of the challenges menu that I've found. Also, non-ASM mods are possible currently.

Now, here's how to add a mod to the challenges menu.
Go into /steam/steamapps/common/cave story+/data/.
There is a file in there, called mods.txt. Open it, and you'll find this text:

Spoiler

Mod listing -- EDIT ONLY WITH GREAT CARE OR THE GAME WILL BREAK

Format:
[mod ID, nonnegative integer]
[space]
[optional: requirement code, followed by space]
[optional: ordering value, defaults to 1000, followed by space]
[foreslash followed by directory name with trailing slash]
(always use foreslashes, even on Windows)
NO TRAILING SPACES!  Spaces in path OK.
[new line; \r\n, \r or \n acceptable]

Requirement codes
R+ = unlocked [unnecessary, but keeps lines looking neat]
R- = locked [only unlockable by editing this file]
RI## = Requires item number ##
RA## = Requires weapon number ##
RG = requires beating hell

Ordering values are P with a nonnegative integer appended
example: "P13"

=MOD LIST START=
01 RG   P10 /TimeTrial/mod/
02 RG   P15 /boss/mod/
03 RI35 P05 /CurlyStory/mod/
04 RG   P20 /Kaze/mod/
05 RA12 P25 /Nemesis/mod/

To add a new mod, simply add the following to the bottom of the mod list:

06 R+ P30 /Yourmod/mod

(If you're installing a mod, you may need to edit the first number and the ID to make it compatible with other mods.)
Unlike before, mods are stored in their own folder and loaded in cave story+.exe.
You can't create ASM hacks, though. Just a warning.
Anyway, inside /yourmod/mod is another text file, mod.txt.
I've included the one for Boss Rush below.

WCVE (No clue what this means.)
-1 (Change to 1 to allow saves.)
Boss Attack (Name.)
Challenge EVERY boss! (Description.)

Anyway, that should about cover it.
If you want to see me, you can find me on #curlybrace on irc.esper.net.