Install the module as usual, generally under your sites/all/modules folder. On a Unix command line, you can use the tar tool like this:
cd sites/all/modules tar -xf to_do.tar.gz
Then go to Administer » Site building » Modules and enable the To do list module.
Once installed and enabled, the module will let you know that you should regenerate the Posts Permissions. Do so by clicking on the link shown on your screen or go to Administer » Content Management » Post Settings. This is an important step to ensure secure To Do List items1.
The other modules are included in the same tarball so you do not have to run that step again.
Simply enable all the sub-modules in the Administer » Site building » Modules panel. Note that the sub-modules may require you to enable other modules (i.e. Views, Trigger, Rules at this point.)