Cosmos is a popular user interface mod for World of Warcraft.
Blizzard has provided a very flexible, yet safe, system that allows users to provide their own Interface Customization. This system uses XML and the Lua scripting language.
Cosmos takes advantage of this system by providing a set of AddOns, and a few common libraries to make writing other AddOns a little easier. These all sit in your InterfaceAddOns folder (located in the WoW game directory on your computer) - they are simple text files, which are read in by the WoW program. As such, they are totally benign.
Cosmos comes with an optional executable (.exe) file you can use. This .exe file is used to update the files in your AddOns folder, and also to upload information to Thottbot if you explicitly chose to enable this AddOn in the Cosmos in-game menu. If you don't explicitly enable Thottbot, this won't happen. You should only run .exe files which you trust.
If you don't trust the Cosmos developers, or you want more direct control, you can install all the files manually from the zip file instead of using the Cosmos.exe file.