Caves of Qud presents a broadly extensible engine. The game's core definition files reside in %game directory%\CoQ_Data\StreamingAssets\Base.
You can create mods for the game by creating a Mods folder in your game save directory, and then creating a sub-folder inside of the Mods folder for your new mod. New content can be created and existing content can be modified or replaced via data files and textures placed in this directory.
For example, on Windows: C:\Users\Brian\AppData\LocalLow\Freehold Games\CavesOfQud\Mods\MyAwesomeMod