The MyLinks module is used to create a links section for your website. It is typically used to create a directory to other relevant websites, but you could use it to link to anything really (music, software, publications, whatever). Links can be organized into categories and sub-categories. Users can optionally be allowed to 'rate' existing links or to submit new ones.
No special measures necessary, follow the standard installation process, extract the "mylinks" folder into the ../modules directory. Install the module through Admin -> System Module -> Modules. If you need detailed instructions on how to install a module, please see the XOOPS Operations Manual.
You can find a more detailed Tutorial here