The infinity engine is the program that power the Baldurs Gate game itself, so you dont need to download that.
Mods for it - ranging from a new item to a set of complete quests, are avaialble from
www.teambg.com among other places. Smaller ones are just unzipped into the override folder in your baldurs gate folder.
Larger mods will tend to have their own installers, in all cases the instructions should be in the readmes.
You might need the infinity engine explorer pro to install some mods, that is also avaialable from
www.teambg.com