All you have to do is upload the archive file to the DotNetNuke portal, and it will install it for you. To have security access to upload a module, you must login as the host manager account (default name is host), go to the host menu and select the Module Definitions.

Inside the Module Manager, select the Upload New module or Install New Module at the bottom - or select the same in the action menu which you enable by pointing the mouse to the edit image (pencil) in the upper left corner and a drop down menu will be displayed. Use the browse button to select the module archive file on your own computer. Press the Add and then the Upload New File link or Save File link.

The screen will now be full of installation messages, check that no errors are reported and it says Success at the bottom.

Module is now installed and you can place it on any page like the built in modules.

Note: When downloading modules which includes source code, the zip file normally contains the source and a zip file for installing a module. This installable zip file normally has PA in the name, which indicates that it contains a DotNetNuke Private Assembly Plugin module.

Which file do I Install?
Installable files are called Private Assemblies and therefore would always have the letters PAor Install in it somewhere. Also ensure that you're installing the correct PA file. Indicators such as 4.x/5.x in folder names indicate the PAs are compatible with either DNN versions 4.x or 5.x. Similarly, a PA file that has letters DNN4/DNN5 indicates it's either compliant with DNN versions 4.x or 5.x.

Additionally, files will have the edition name as well. For example: PageProtection_StandardEdition_DNN4_Install.zip indicates that it's a Standard Edition Install File compatible with DNN 4.x versions.

Which edition do I Install?
See: http://dnn.mandeeps.com/licensing.aspx