It depends. If it's an object file you'd like to link to the kernel you need to copy it to kernel source, modify makefiles and then link it (using make).
But I think it's a driver. If so, you need to copy it to the right directory in /lib/modules/yourkernelversion/drivers and then just run
modprobe modulename
If itfails, run 'depmod -a' before.
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