If the folders do not exist, create them.
Normally the DATA folder does not exist except inside the game's compressed PIGG archive.
If you create a DATA folder, the game treats anything you put there as if it was in the PIGG archive, and thus as if it were part of the game.
Additionally, any file in there that duplicates the name and folder position any file present in the PIGG archive overrides it. So you can replace sounds/meshes/textures with custom ones without actually re-coding the game. Only you see the changes, though.