To enable a module, click Administer >> Site building >> Modules. The non-core modules are listed farther down. With 5.x, they now show you some of the inter-module dependencies. You can turn them on and "Save configuration" in order of the dependencies. For example, "Views UI" requires "Views", so you can turn on "Views" first, save the configuration, then turn on "Views UI." and save again.

Most modules introduce some kind of menu items. Those will generally appear automatically when the modules are enabled. A few menu items will not show up until the permissions are set (the next step). And even fewer require you to take action to add the menu items, but the modules will have instructions on how to do that.

Now the real work begins. Click Administer >> User management >> Access control (or Administer >> User management >> Permissions in D6) to select who can use the features of the new module.

If the module introduced new content types, go to Administer >> Content management >> Content types and configure them. Don't forget this may also affect your "Input formats" (Administer >> Site configuration >> Input formats) and "Categories" (or taxonomy, Administer >> Content management >> Categories); you'll have to check those too.

Okay, now you can start using the new module.

This site

Nancy's documentation site is a relatively "vanilla" implementation of Drupal.

To get some idea of what modules are available, check these links: module handbook and contributed modules handbook.