Installing CK2 mods is almost always a very easy process- you download from a mirror of choice via the mod forum, you extract/unzip your .mod and the mod's folder and then drop them into your mod folder located under Documents. The only secondary programs you should need is something like WinRAR or 7-Zip, though if I recall AGOT has a scripted installer but it still needs to be extracted regardless.
On a side note, look at this video if you would prefer a video tutorial:
But what I'm saying is that it doesn't work when I do that. I double click, and I get a pop up and nothing else.If you already have the installer, all you should need to do is double-click and run the program.