If you need extra functionality within youre website you could download almost anything from the module section at drupal.org. There are thousands of modules and they are all free (I think :o). If you have read the install drupal tutorial on this site you navigated through the sites folder within youre drupal installation. Inside this folder there are two folders. All and default, the "all" folder will be youre best friend if you like drupal.
To install a module you have to download it from drupal.org, extract it and copy it to youre drupal installation.