Open the mod zip file, there should be a bunch of files starting with "PSN_02" (alt costume 1)
Rename those files to start with "PSN_01"
Copy and paste those files into \STEAM\SteamApps\common\Super Street Fighter IV - Arcade Edition\patch_ae2_tu1\battle\chara\PSN
This is non destructive and the best way to add mods to your game. Any files put into the "patch_" folders do no overwrite anything physically, they just get priority when the game is loaded up. If you want to remove the mod just delete the files in the PSN folder.
edit: I use
http://www.fastfilerenamer.com/ for bulk renaming files.