Keen: Modding

How do I know if keen games need unlzxe how do I run mods?

Welcome to Keen:Modding! I split your post off into a new topic, since it's on a new subject.

If you're running a modded game, you'll need to UNLZEXE the executable (unless the mod ships a new version of CKPATCH that doesn't need it decompressed). If you drag an EXE file onto unlzexe.exe and nothing new gets produced, your file was already decompressed.

To run a mod, supply the original game's executable file (if it's not already in the download) and run the batch file in DOSBox. Note that just running the executable will, in most cases, not work - if there are patches involved, you have to launch the game through the batch file.

which mod are you about to play?
if it is a Keen 4 based mod it might happen to have an already extracted executable included. in this case you just need to fire up the batch file via DOSBox (like Fleexy already mentioned before).