About this site
The short version
The long version
A lot of modern day PC video games, the sort you buy off-the-shelf at your local store, come with a piece of software known as a Software Development Kit (SDK). Normally this is software that the developers of the game have used to add actual tangible content to a game world. In the case of The Elder Scrolls IV: Oblivion; an open-ended, sandbox, Lord of the Rings style fantasy game complete with swords and magic, goblins and trolls; tangible content includes such things as weaponry, armour, interactable non-player characters (NPCs), quests, dungeons, castles, landmass and so on and so forth. Most, if not all of the content in the game was added by the developers via this SDK.
By releasing an SDK with their video games the original game developers open up the game to the game users, normal people like me and you, enabling us to add new content or modify or remove existing content from the game at will. People who partake in such activities are known as mod authors or mod creators. Such modifications, or "mods" as they're known to the gaming community, are stored in a file known as a "plug-in" file that can be easily shared among other players of the game. A mod author can add a new sword in to his game via the SDK, send the plug-in file to a friend, and then that friend can make use of the plug-in file, adding the original mod creator's sword to his own game.
Are there any fees?
For the average mod author and mod downloader there are absolutely no fees other than the cost of the game itself. To my knowledge no game developer has ever released an SDK at a charge to the user, and indeed all Nexus sites focus on games with freely available SDKs.
All modifications on Nexus sites are provided free of charge although downloading files above a certain file size requires the user registers with a free account to the site for security and site functionality purposes.
Nexus sites are maintained through advertising and voluntary donations made through a Premium Member scheme. Users of the site can pay for upgraded account features such as no advertising, faster download speeds and download manager support. Having said this all files on the site are accessible to all members regardless of whether they are premium members or not. Premium membership is to Nexus sites as 1st Class is to airplane journeys.