If you are running on a typical LAMP install with access to the shell or SSH, you can easily install drupal modules with 3 or 4 commands.  Find the link to the project download.  For this example we will use the tar.gz download.

Assuming you are in your root Drupal Install Dir.

$ cd sites/all/modules

$ wget http://www.drupal.org/modules/<projectname>.tar.gz

$ tar -xzf *.gz

$ rm *.gz