Extract the contents of the file you downloaded to anywhere you want. Find where Sonic Generations is stored on your computer.
For example: "C:Program Files (x86)Steamsteamappscommonsonic generations"
Simply copy the extracted files to the game's directory.
Run SonicGMI.exe as Administrator* (should be located in the same folder where SonicGenerations.exe is). If your Sonic Generations exe is not modified yet to support mods, simply click the Install/Uninstall button on the bottom.