There is no "data" directory in the nightlies, this was the case many years ago in v1.0.
Nightlies can be installed anywhere... I recommend NOT into Program Files, but somewhere else. If you want you CAN install into Program Files, but you may run into issues with that.
After installation, and after the first successful run without any mods, there will be a "mods" directory in your documents folder (same folder where the saved games are).
The mod needs to be extracted into that "mods" directory.