Shamil,

While it isn't 100% necessary to enclose your forms/logic in a module it is typically a best practice for various reasons.  Modules can utilize the rest of the framework to its fullest and with the least amount of additional programming.  Certainly you can still implement everything from the framework manually (security, etc) in a custom webform, but by inheriting your usercontrols from the base module classes such as PortalModuleBase you gain all that functionality immediately.

Now that being said I have had plenty of reasons to use custom ASPX and/or ASHX files within my modules to gain certain functionality.  I still package them up with the rest of the module and the way to access the page is to use the full path to the module ([portalroot]/DesktopModules/ModuleName/Myform.aspx).  The difference with a straight module is that you'll access it based on the page it actually resides on so none of that "DesktopModules/ModuleName" stuff in the URL.

For general module development tutorials and getting started I highly recommend reading Michael Washington's tutorials.  That is how I got started on DNN development as well as a huge portion of the community out there.  You might also consider picking up Mitchel Seller's book on DNN development.

Good luck!

Thank you, Jon.