Slax is a live-system. You cannot install it!
As of the modules, it's explained on their website very detailed how it works.
1. Download the isofile and the modules you need.
2. Mount the isofile (as root) with
mount nameofthefile.iso /mnt/tmp
3. Copy the directorystructure including all files to your computer
cp -r /mnt/tmp/* slax/
4. copy the modules into the /modules directory
5. use the sh file (don't know the name as yet) to build your own isofile
6. Burn it or mount it in vbox