Get the tarball or the zip file of the module from Drupal.org (MobileKey on Drupal).
Go to one of you module folders and extract the file you downloaded.
The default installation folder is sites/all/modules, if you have a multi-site installation and want the module for just a few sites, go to sites/<sitename>/modules instead (create the modules folder if it doesn't exist yet.) It is recommended that you do not install under the top modules folder as this one is reserved for Drupal Core modules.
At that point, go to your Drupal website and go to Administer » Site building » ...
