How to install a new module?

I'd like to get a new module installed, but can't figure out where the option is (or if I have to get Tom to do it).
This is what I've been looking for since I first opened up the site to members: Persistent Login (http://drupal.org/project/persistent_login). It would greatly simplify things for my users, and would probably reduce by half the number of support questions I get.