First of all, from what I read, this mod is designed for UT2003, and not UT2004. A UT2004 version will be coming out later.
So, if you have UT2003, double-clicking on the .UT2MOD file should launch UT2k3 Setup to install that mod. If that doesn't work, first move the .UT2MOD file into your C:\UT2003\System folder. Start a command prompt (Start -> Run -> command), then type cd\ut2003\system followed by setup install filename.ut2mod where filename is the actual name of the .UT2MOD file. This should manually start UT2k3 Setup to install that mod.