Each module is responsible for mainting the proper angle with the two edges into which it is inserted, and it is by folding the modules to have the proper angles that the various polyhedra are made. The above description will probably be confusing until you actually make a polyhedron or two. I recommend starting by making a dodecahedron, since the modules are very easy to make, the polyhedron is easy to assemble, and it ends up being very sturdy. After that, try the tetrahedron, octahedron, cube and icosahedron, and then move onto the other polyhedrons. Particularly pretty (and stable) are the rhombicuboctahedron, truncated icosahedron, truncated octahedron and snub cube.
In all of the descriptions below, I assume that you start with 4x3 paper. One way to do this is to start with 4x4 paper, fold it into four segments like an accordian, and rip off a segment. However, you can keep all four segments and fold the modules just the same. The only difference will be that the modules will be thicker and a little harder to work with. What I usually do is start with a long rectangular strip of paper, fold a big accordian composed of 4x1 segments, and then rip off 4x3 sheets. If that's confusing, let me know, and I'll diagram it.