I had installed a Drupal Module named 'Content Construction Kit'(CCK) and sharing my experience about the same. CCK is a contributed module (and not a core module) and hence after extracting the module downloaded from http://drupal.org/project/modules?text=Content%20Construction%20Kit , it should be placed in /Drupal/sites/all/modules/ .

Initially, I had placed it in /Drupal/modules/ (which is the directory where all core modules are placed) , but thnx to Saifi, i came to know that its the wrong place and finally placed it in /Drupal/sites/all/modules/ .

After this, navigate to Administer -> Site Building ->Modules and enable the Content Module and other modules, if required, provided by the Content Construction Kit. (I got an error saying permission denied, so had to change the permission to this folder and the subfolders and files. You can use chmod command or use GUI to achieve the same).

Now, go to Administer -> Content Management -> Content Types . You can add a content type here. After adding the field, click on manage fields, wherein you can add new field and edit the newly added fields.

In general, to install a module, this is all you have to do:
1. Extract the downloaded module
2. Place it in /Drupal/sites/all/modules/
3. Enable the module at Administer -> Site Building ->Modules
That's it!

I had also installed a module named Administration Menu 6.x-1.4 and upgraded it to 6.x-1.5 now. The steps, even in this case, are simple:
1. Disable the module (Also uninstall it using the uninstall tab. This is necessary to clear the database)
2. Replace the folder admin_menu in /Drupal/sites/all/modules and run cron
3. Enable this module
4. Run update.php. This can be achieved by going to Administer -> Site Building -> Modules and clicking on the update.php link or directly through the browser, in my case http://localhost/Drupal/update.php and follow the steps. This is required if there are any changes to the database.

Regards,
Kartik Nayak.