The posts I saw before this were good, but if I was a clueless noob, I'd be totally lost with them. So for any lurkers out there still confused, here goes my shot at this:
1. Open 'My Computer'
2. Find the 'TES Construction Set' CD (or Bloodmoon or Tribunal CDs for content from the expansions). Open it.
3. Open the 'Data Files' folder
4. Now, it branches depending on what you're looking for.
-if you're modifying a model: Open the 'Meshes' folder, find the appropriate folder for the model (see below for scheme)
-if you're modifying an image to go in a book or scroll, look in the 'BookArt' folder
-if you're modifying the image of an item in your inventory, look in the 'Icon' folder (same scheme as meshes folder)
-if you're modifying a texture from a model, a birthsign, the image from a class level-up screen, water, or the shimmery effect on magic items, look in the 'Textures' folder
for meshes and icons, here's the hierarchy scheme
a-
Armor
b-
Body Parts
c-
Clothing
d-
Doors
e- Magic
Effects
f-
Furnishings (furniture, tapestries, etc
i-
Interiors
l-
Lighting
m-
Miscellaneous
n- I
Ngredients
o- C
Ontainers
r- C
Reatures
w-
Weapons
x- E
Xteriors
If I totally confused anyone, just say so and someone'll clarify
Wow, for all that typing, somehow I don't think I was any more help than the others were

~Arturun