I'm not entirely sure about what you're looking to do, but I'll answer as much as I can.
I would suggest setting up a DotNetNuke website on your local machine, using the Source package. You can then create a new module (starting it either through the website itself, or by using a Visual Studio template). I strongly suggest using a Web Application Project for the module, keeping it in the website's DesktopModules folder (so that you're only dealing with the module's code, and don't have the entire website open in your project). Also, make sure you use the module and any other extension points to implement your functionality, rather than making changes to the actual DNN core code (since any changes to the core will make it that much more difficult to upgrade to newer versions of DNN).
I strongly suggest getting some automated packaging in place (the template that I linked to has a NAnt build script with it that you can use to package your module). It is so much easier to deploy modules as installable packages than trying to migrate individual files.
You can get the source version of the Documents module from its Codeplex project. It's licensed under the MIT license (like DNN itself), so you're free to use it as a starting point for your own module. Just download the source package and install it into your development site. The install will include all of the source and also includes a Visual Studio project that you can use. After installing, I would suggest that your first step be to rename the namespace (so that you're differentiated from the core module).
UPDATE
To deploy the website, I would suggest installing DNN on the server using the main DNN Install package. Then, once that is installed, you can install the module into the website using the package that you have created. A default installation of DNN will only have the Text/HTML module, in addition to administrative modules, so you shouldn't have very many extra, unused functionality present in the site.
Leave me a comment & update your question (or start a new question) if there's anything else you need to know.
Best Answer
Modules need to have a file with an extension of
.dnn. This tells DNN the information it needs to know to properly register the module. You may see if there are installable packages inside of the main zip archive that you tried to upload. If not, you'll definitely want to contact the company to see how you should install the module.