Create a modules directory in sites/all. (if there's not already one)
sites/all/modules
Contributed modules placed in the sites/all/modules directory will be available to all sites sharing the same code base. If you are not creating a multi-site installation then this is where your modules belong.
The basic instructions are as follows: Download the module, extract the files, upload the resulting folder, and enable the module in administer > site building > modules.
Tip
Install new modules you are unfamiliar with on a test site. This way you can explore the functionality without risking your live site.
The detailed instructions are:
1. Download the module.
2. Extract the files. When you first get the module, it will appear in a compressed file format such as 'tar.gz'. On Windows, use a program like 7-Zip to extract it. On the Mac, you can use Stuffit Expander. To extract the file using the Unix command line:
tar -zxvf modulename-drupalversionnumber.tar.gz
You should see a list of files extracted into a folder.
3. Upload the folder. FTP/Copy/SCP your files to the desired modules folder in your Drupal installation. Since the /modules/ folder is typically reserved for Drupal core modules, you should create a sites/all/modules/ directory and put uploaded modules there. This will also make it easier to update your Drupal site later on as your modules will not be mixed in with core modules.
4. Enable the module. Version 6.x users go to administer > site building > modules. Check the 'Enabled' box next to the module and then click the 'Save Configuration' button at the bottom.
5. Set permissions. Usually, go to administer > users management > permissions. Scroll down to the ulisting section and give the appropriate permissions to the appropriate roles. At the very least, you should give "view listing" to all roles.
How to download
Installing the Module
"1. Download the module."
Must be missing something here... is there a download link?