I really like this game but want more modules to play rather than just diamond. As I Paid for the game I might as well do it now anyway. I am using a Pc-Windows 7.

Let say you want to play " A Dance with Rogues " part 1.
You go here:
http://neverwintervault.org/project/nwn1/module/dance-rogues-part-one

You download A Dance with Rogues Part One
There is an optional character file you can download if you don't want to make your own.

Then it says Required project: ACAG
So download that.

Extract the .rar files.
The A Dance with Rogues Part 1 V1.50.mod file goes in .....Neverwinter Nights Diamond Edition > Modules
If you chose to use the Lyannastormborn.bic it goes in .....Neverwinter Nights Diamond Edition > local Vault
ACAG106.hak goes in .....Neverwinter Nights Diamond Edition > Hak

When you start the game, choose New > other modules> A Dance with rogues & load it.
And that's all there is to it.

In general, a module might come packaged in a installer. In this case you're generally good to go if you just run it and let it install the module and the content.

Sometimes not all the content is packaged with the installer (this should be mentioned on the Vault project page, for example as a required project), in which case you need to install it manually.

In all other cases you need to install everything manually. Here's what goes where (olnorton's list was not exhaustive):
-HAK files go to "hak" folder - these are extra resources, needed by the module but not offered by the game by default
-WAV and BMU files go to "music" folder - mostly soundtrack
-BIC files go to "localvault" folder - these are character files, normally only appearing if the author of the module wants you to use a specific premade character and not your own
-TLK files go to "tlk" folder - a talk-table, used for example to add new spell/feat descriptions or modifying existing ones
-MOD files go to "modules" folder - these are the modules themselves

Some modules require you to download only a MOD file, while some others might require you to download all of the above. In some rare cases you might also need to put some files in the "override" folder ("Good VS Evil III" is an example), but that's rare and you'll generally be told if that's the case.