Utterly Mad

If you are installing them manually, I think there is a folder in the games directory? let me see...

alright, according to this, you simply have to copy the contents of the zip folder a mod is packaged in straight into C:\Program Files (x86)\Steam\steamapps\common\KillingFloor
If the mod is simply sounds, meshes, and/or textures, I believe you won't have any problem just using them as is. If they are mutators, you'll have to activate them from the mutator menu in solo mode before they can be used. A lot of mutators conflict, so try them all one at a time before committing to them.

If it's steam workshop then just subscribe and they automatically install, but if what you mean is that the mods you've subbed to aren't appearing, the mods might not be supported by the server you are joining. as in, they don't have it installed themselves. some mods require both client and server to have them to function. maps, should be select able when playing solo mode and having them installed will simply make joining a server using the map faster. Just like a manual installation, textures/meshes/sounds are usually only visible to yourself, unless someone else also has the mod. (unless the server is using them, then everyone can see them.)

If your asking how to install mods for a server, I have no clue.