I installed Dotnetnuke and other modules like store, forum etc. Works fine. This setup does not include source files in Desktopmodules directory. I want to do some sort of changes to existing modules(say forum or store). How can I do that? I can download source form the dotnetnuke site but I do not know how to setup the source to debug. Please be kind enough to explain me clearly.

I just went through this a few weeks ago.  I just tried it again with FAQs.

I downloaded the dnn source, unpacked it, and set the website folder up as a site under xp and got it running.  Then I downloaded the module source package from the dnn site.  Started up VS and opened a local website, seleting the dnn source site.  Signed in as host, when to modules , clicked on install new module, browsed to the downloaded zip file, saved it, it installed itself, and (as I recall) presto the source was in the module folder in the destop modules folder.

Hope this helps.