If you have the Sword CD, you can skip this step. The texts are stored on the CD uncompressed, and are accessed directly from installmgr under the manage remote sources tab.
Download modules from Crosswire Bible Society use the zipped up modules (modulename.zip), not the windows executable compressed files (modulename.exe).
Create a directory for your module repository, $HOME/sword_modules for example.
Open a program that can uncompress zip files. Such as gnozup or archiver. Command line tools can also be used, to find which ones are installed on your system do a man -k zip
Use your unzipping program to extract the module files into $HOME/sword_modules. All of the files will be placed into the correct subdirectories. If you wish to add modules later remember to unzip to $HOME/sword_modules.