In the best case, someone will have prepared a special version of the module distribution you want to install that is targeted specifically at your platform and is installed just like any other software on your platform. For example, the module developer might make an executable installer available for Windows users, an RPM package for users of RPM-based Linux systems (Red Hat, SuSE, Mandrake, and many others), a Debian package for users of Debian-based Linux systems (Debian proper, Caldera, Corel, etc.), and so forth.
In that case, you would download the installer appropriate to your
platform and do the obvious thing with it: run it if it's an executable
rpm -install it if it's an RPM, etc. You don't need
to run Python or a setup script, you don't need to compile
anything--you might not even need to read any instructions (although
it's always a good idea to do so anyways).
Of course, things will not always be that easy. You might be interested in a module distribution that doesn't have an easy-to-use installer for your platform. In that case, you'll have to start with the source distribution released by the module's author/maintainer. Installing from a source distribution is not too hard, as long as the modules are packaged in the standard way. The bulk of this document is about building and installing modules from standard source distributions.