It doesn't matter where you run the game, the appdata folders are created on the first startup of the game. There should even be a button in the mods menu, to open the folder where the mods needed to be extracted (each in their separate fodlers)
Edit: there isn't a button for the mods folder, it's for the portraits
Anyway, to get to the appdata, just type %appdata in your windows searchbar, then go to roaming and find the game. it should be created after the first start of the game