Modules enhance or replace functionality within Foundry VTT. Most modules consist of a module.json file that describes the module and contains some metadata about it, and a <module name>.js file that contains the module code. Some modules also include css and html files.
Browsing the official module list is the easiest way to find Moudules. Some unlisted modules can be found via the Unlisted Modules wiki page.
Data\modules\<module name> inside your Foundry VTT user data folder.There is an Introduction to Module Development page in the official Foundry Knowledge Base which is a good place to start.
Modules are developed using the Foundry VTT API which is documented on the official Foundry VTT site.