I think I see, when you launch the .exe to install one of the mods, you should point the installation to /Lighthouse/Steel Fury Kharkov 1942/, not to your new mod folder, the installation process actually creates both the "MODS" folder and the "mod name" folder.
If you go into MODS/Steel_Panzer_Mod_v1.4_eng/, you probably have another "MODS" folder instead of "data". So when you install the mod with JSGME, the files don't go where they're supposed to, and so when you launch the game the modded files aren't found and you have the stock game running.
What I do with mods that come in .exe format, is create a temporary folder on my desktop, and install the mod in that folder. Then navigate that folder and copy the "mod name" folder to my actual Steel Fury "MODS" folder.
It's difficult to explain clearly, in the end though the structure should look like that image:
Hmm and I just got a thought, do you use XP or Vista? I think some people had problem using JSGME with Vista because of UAC or something, it prevented files from being overwriten.