1 - right click .UMOD file
2 - press 'open with'
3 - Navigate to ...Steam\steamapps\common\Unreal Tournament\System folder
4 - locate Setup.exe, open file with it
5 - follow installation process

Old versions of windows autoflagged .umod files to open with this .exe and made them appear with UT.exe icon so this files were opening automatically. Thats it, everything you need to use .umod files is there in Unreal Tournament folder.

_ Alternative Guide for win11_

Navigate to <path-to-game>\System
Create a shortcut to Setup.exe by right-clicking on it and selecting "Create Shortcut".
Right-click on the newly created shortcut, then click "Properties"
At the end of the target box add the text " install", without quotes but making sure to include the space. The new target should be "<path-to-game>\System\Setup.exe" install
Click "Apply", then close the shortcut properties.
Drag and drop the desired UMOD file onto the shortcut and follow the setup prompts to install the UMOD file.
Optional - Rename the shortcut and/or move it to a more convenient location.