Your site must be connected to the Marketplace with your Marketplace System ID (see Your jamroom.net Account and the Marketplace).
The Marketplace downloads the module and sets up its database tables itself. You don't upload anything.
A module that adds a section to profiles (Audio, Video, Forum, ...) doesn't show on any profile until you allow it. Open the module's Quota Config tab, choose a quota, check Allowed On Profile and save. Do this for each quota that should have it, or use Apply To All Quotas.
Then check the module's Global Config tab for settings it needs, such as an API key.
The Marketplace's Bundles tab has sets of modules for a kind of site, such as music, video or social. A bundle installs them all at once.