Adding Modules To Drupal installations:-
Extract the code to to your
/sites/{sitename}/modules/{modulename}
or at your localhost at:
/sites/all/modules/{modulename}
e.g download Image module from http://drupal.org/project/image and place it in modules folder
/sites/all/modules/image
After placing module folder in your modules directory you can see and configure it from
http://localhost/admin/build/modules
you can check new module and enable it from this above admin link.
More Info:-
http://drupal.org/node/120641
Module List for Drupal 6:-
http://drupal.org/node/206666#DRUPAL-6