If you download MODX from modx.com/download and unzip it, you should see the setup directory in the MODX root (along with the manager and connectors directories. That's the one you want to run: yoursite.com/setup.
I notice that this is ModX Revolution. Is this the same as ModX?
Yes, though it's now spelled MODX.
I'm not sure what to advise you. The best way to proceed would be to empty the DB and delete all the files, then restore a backup of the site from before the hack. Obviously, that won't be possible if you have no such backup.
In that case, I would probably try to save as much of the site's content and DB somewhere save (like your local machine), then wiper the DB and files and install MODX 2.6.5 using the method described in the link. Then I'd restore the content by cutting and pasting. It's a slow way to go, but I don't trust the hosts claim that all hacked files have been removed. Even if they're correct, they may have removed some files belonging to MODX add-on components that will make the site crash.
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Wayback Machine can help you recover site content from before the hack. MODX creates its pages dynamically by combining Templates, chunks, Resource content and the results of snippets (much of which is stored in the DB rather than files). Those will all be mixed together in the Wayback view, but at least you'll have a copy of what the pages looked like and the content they contained.