Modules can be added to a Module Position. Positions are defined in a Joomla template. Additionally in Joomla 1.5 you can see what positions are available in the template you are using by adding either ?tp=1 or &tp=1 to the end of the URL in the frontend.
Joomla 1.6 will only show the template positions with ?tp=1 or &tp=1 if the Preview Module Positions mode in the Template Manager has been enabled: Extensions > Template Manager > Options (upper right corner) > (templates tab) Preview Module Positions: Enabled.