I downloaded Minecraft Forge, searched
%Appdata%, went to
.minecraft, but there was no 'mods' folder.
What do I do? I really want to play the Pixelmon mod.
Just add a folder and call it mods. That should do it :)
You won't have a mods folder by default as the mods folder is only used by a mod or mods for Minecraft, namely modloaders (such as the aforementioned Forge) or meta-mods and mods requiring a mod dependency or dependencies, not by the vanilla Minecraft itself. The vanilla game doesn't support mods placed in the mods folder, only when a modloader mod is installed that is designed to look in this folder for mods that it can then load.
Therefore, you will need to create this folder yourself. Older modloaders used to create this folder for you, but this is no longer the case as of quite a while ago (no citable source).