I'm a little confused on the instruction here. It's says: On linux / mac, execute chmod +x olmod.sh from the terminal after changing to the correct directory. For example after cd "~/Library/Application Support/Steam/steamapps/common/Overload"
Where is this folder located exactly and is there any other files I need to install in order to join a game server?
I think you need to extract the contents of olmod-0.5.8.zip into the overload folder, then run that command in a terminal window from there (it allows olmod.sh to execute), then just run it (you can probably double click it).
Terminal window being bash or whatever passes in your particular variant.