Do yourself a great big favour and install WinSCP. It's the easiest FTP client I've ever come across and beats FileZilla hands down.
https://winscp.net/eng/download.php
Download your new module to a folder on your computer. I call mine "Paid Modules for Dolphin". Unzip the files there and buried amongst the unzipped stuff you will end up with a readme file. As it varies from vendor to vendor, I can't be specific, but here's an example:
Modzzz Dares module is in a downloadable file - Dares - Dolphin 7.2.zip
The Zip file contains several folders and files:
Dares_files
modules
patches
upgrade
readme.txt
readme_languags.txt
readme_points_integration.txt
Always read the readme.txt file first and print it out. In the case of Dares, the Readme file will point you to the modules folder and the two folders inside:
boonex
modzzz
Note: not all modules will have a boonex folder and the readme file will tell you how to handle it if it's there.
If you don't have any other modules from Modzzz, you can FTP the entire Modzzz Folder to the modules directory in your server root. If you do have a Modzzz directory on your Dolphin server, copy the contents of the Modzzz folder to that directory. Ditto Boonex, if it's there, but follow the readme instructions to the letter.
Run Dolphin and go to Admin
Go to Modules Add & Manage and look for the new module.
Install it.
Note: Modzzz is just an example name.
E&OE