A module is a collection of functions that is used in multiple programs. You would use a module in different ways, depending on the way it's implemented.
- A class for an OO system
- A repository of functions, with Exporter
CPAN is the Comprehensive Perl Archive Network. Among many other purposes, it serves as a repository for useful modules. Some of the ones you'll hear a lot about are CGI, Class::*, and Devel::*.
You would download a module from CPAN and install it, using the instructions that came with the module.
As for more info, I suggest purchasing Programming Perl, 3rd edition. There's a number of chapters there about modules and a whole chapter on CPAN.
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