First of all, yes...it's possible.  You can create them either as WSP's (website projects) or WAP's (web application projects). If you're just starting out, I would recommend creating the modules as WSP's and using the following tutorials put together by Michael Washington, a core team member.

http://www.adefwebserver.com/DotNetNukeHELP/

Creating modules using the WAP method requires VS 2005 service pack 1 be installed 

That's easy :

1. First install a DNN.
2. Launch Visual Studio 2005
3. Click on File / Open / Web site and select the folder wich contents your DNN portal
4. On Solution explorer open DesktopModules Folder
5. Create a new folder (for instance : MyfirstDnnModule)
6. Right click on the new folder and Add new Item (ascx) a Web User Control
7. Edit the ascx.vb or ascx.cs (depends of the language you use) and replace System.Web.UI.UserControl by DotNetNuke.Entities.Modules.PortalModuleBase
8. Right click and Build page
9. Go to you DNN portal and loggin with host user.
10. Click on Host / Modules Definition
11. Click on Create a new module and Fill your module definition and add control...
12. Select your module and insert it inside your page.
13. Job's done