Do I put these in a mods folder? I'm confused...

Is Epic's official UT2004 Mega Bonus Pack included in GOG's instalation package?

No, it's not. You just get UT2004 with all official patches applied.
You don't get the Mega Bonus Pack, you don't get the 64-bit patch and you don't get AS-Confexia, DM-Forbidden or the ONS Bonus Map Pack. However, you can get these online as they were freely released.
Note, if you do get the Mega Bonus Pack, the installer has a bug which changes some text data files to older versions. To correct this, after you've installed the Mega Bonus Pack, install the 32-bit v3369 patch.

Also worth a look is the Ballistic Weapons mod - on moddb: http://www.moddb.com/mods/ballistic-weapons