Modes include highlighting schemes, active strings, menu and tool bar customizations for editing specific sorts of text.
To install them create a directory %b\Config\<mode name> and extract the zip file in there. You will find a macro called install.edt or similar which you want to execute ("Macros | Execute Macro..."). Before installing a mode you should backup your settings ("Options | Configurations | Backup"), in case anything goes wrong, or if you don't like the mode.

To install the menus, go to "Options | Menu Setup...") and choose the appropriate tab ("Main Menu" resp. "Popup Menu"). Click on "Append..." (the rightmost button; or by performing a right-click) and choose the file you downloaded.
Some menu items call macros from the WinEdt Macro Library. You may have to download and install these macros separately.

To get a longer description and installation instructions, click on the name of the component.
The macros are tested -- probably written -- with the specified version of WinEdt.