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This is a quick introduction on how to install Drupal modules.
Navigate to your /sites/all/ directory and view the README.txt file that exists there.
As of Drupal 5.3, it says:
This directory should be used to place downloaded and custom modules
and themes which are common to all sites. This will allow you to
more easily update Drupal core files. These modules and themes should
be placed in subdirectories called modules and themes as follows:sites/all/modules
sites/all/themes
You should create those two new directories if you haven't done so already. All of your uploaded and custom modules should go in the new /sites/all/modules/ directory.
Drupal modules can be downloaded from the Drupal modules pages.