Her we'll look at the most important and common modules, you may want to just read the first module regarding backup and migrate and then skip ahead to theming, you can always go through the rest of your sites functionality later once you have a nice looking site up and running. I'll go through a full example of how to install "Backup and Migrate" using an ftp client and then how to install "Module Filter" through Drupals own interface but as almost every module is installed in the same way I'll skip that part for the rest of them.