Installing a module is just like installing a theme...easy. Experienced people use Drush. I suppose you don't use Drush when you need to read this article..LOL
Go to Drupal.org and choose the module. Klick right en copy...
Install. The textfield beneath is used for files that are on your computer.
De installation has succeeded. Now you have to set the module active.
Search with the filter and activate.
Sometimes Drupal asks to activate other modules who are dependent. If not installed already, you have to do so.
If it concerns a 'third party' module, you have to add files to the hosting by FTP or the control panel. Views slideshow and colorbox for example are in this case. Every third party module has his own files and way of uploading. Just Google to find out how. Beneath is an example of the views slideshow files.
Put them in the right place...