Drupal Tutorial : Administration : Install/Enable Modules
You can enable/disable Drupal Modules from the (administer->modules) section. The default installation of Drupal has a ton of useful modules, and there is a brief description of what each of the modules does. If you need more modules, you can freely download the from Drupal's official website.
On your site, drupal modules are stored in the 'modules' subfolder within the drupal installation directory. You can install additional modules by simply unzipping them to that folder.
Let's say that you need to install the trackback module.
Visit http://drupal.org/project/Modules and find the trackback module - trackback-x.y.z.tar.gz. Download it to your local PC. Extract the archive using the free copy of winrar (which can be found at http://www.rarlab.com).
Open your control panel at http://yourdomain.com/cpanel and click the File Manager icon. Navigate to your drupal installation directory, and then open the 'modules' folder.Click 'Upload File(s)' and add all files to be uploaded to the modules folder. Click 'Upload' and wait for a while.
You should now be able to see the trackback module from your administration area.