I'm not familiar with the Steam version much, but your mods location seems to be in the right directory.
The mods should indeed go in [Installation Drive]:\MyGames\Allods Online EN (EN)\data\Mods\Addons
*Note: (The directory above is my NON-Steam version directory, so the folder naming is probably different as well)
However, note that mods should be extracted from the archives file if it's a .RAR or .ZIP file for example. It should result in either 1 out of 2 things:
1) Sub-folders of the mod(s) you extracted (inside the Addons folder)
2) The actual mod file itself placed inside the Addons folder directly, without a sub-folder. Those mods are .PAK files.
From that point on, when you then launch the game you should indeed have an 'Addons' option appearing in your main menu (Esc button). And you activate them from there.
However, with all this said...
- It's possible that the Steam version doesn't "operate" the same way with mods. Or perhaps worded differently, it's possible that the Steam version's directory structure isn't "compatible" with the mods, that the game doesn't "recognize" the installed mods properly, etc. But I wouldn't know if that's the case since I never tried the Steam version.
- The Steam version, all things considered, can be dismissed if you keep running into this problem. Because the Steam version of the game only means having one extra launcher to go through (which is Steam itself). Or maybe they changed that over time? I remember reading on the Steam forums of the game that the only difference is really that there's two launchers instead of just one (Steam launches first, then the game's own native launcher needs to launch anyway). So if you do everything "correctly" but it still doesn't work in the game then I recommend you just download the game's launcher itself directly, re-install the game outside of Steam and just use the 'normal' game launcher.
Because, in the end, the Steam version does not have its own server as far as I know. You're still going to be playing on either Evolution or Smuggler's Paradise (anyone else reading this correct me if I'm wrong on this but I don't recall ever hearing about any other servers available right now outside of playing the Russian version).