I didn't install the game, Tequila did and there's no data folder in the folder I installed that to.
If you click on Options in Tequila, it'll tell you what folder the game is installed in. Just point the VidiotMaps installer at that folder and it'll create the data folder and it's contents. You'll need to completely restart the CoH client for it to take effect.
I put it there the first time, it didn't work... There's no data folder there to begin with, unlike in the appdata folder...