Hi Deepak,
It seems you are new to PI. I will try to explain you.
Modules - There are predefined modules in SAP PI like AnonymizerBean,PayloadZipBean etc. These are readily available and just you need to include the name and parameters in your Channel Configuration(which is based on adapter like File adapter, IDOC Adapter etc).
Custom Modules - The modules which are not available and are developed for a requirement which cannot be achieved by any means in SAP PI. Custom means modification, that clearly means which is not readily available.
Adapter - In PI which use channels, which are based on adapters. You can check any channel configurations.
Bibek above has already shared the links to implement the custom modules. You can find on google more links, based on which SAP PI version you are using.
For implementing these steps, you need to download NWDS SP12 from Service market place for which you need a service user id. After downloading just follow the steps provided in the given links, you will proceed toward your goal.
Thanks,
Nidhi