When you first start Skyrim, watch the lower right corner of the main application screen -- it will display a short synchronization message for each mod. (In the future, you won't have to wait for all of these messages to be displayed. Just make sure you wait for them on the first load of each mod.)

Before you click "Play," click "Data Files." This will present a list of all files you have in your "Data" directory. Make sure the checkbox is ticked for all the mods you want loaded. If you run into any issues, you can use the up and down arrows to rearrange the load order. Remember that later-loaded mods trump earlier-loaded mods. As you get more mods (with increasing risk of conflicts), you may want to use BOSS to help ensure you're loading mods in the proper sequence.

You can also try unsubscribing and resubscribing to force another download. That can help if the mod isn't appearing in your Data Files list.

Thank you