I highly recommend the book by Mitchel Sellers as a great starting point. There is also a new book by Michael Washington and Ian Lackey that includes major sections on module development.
Michael Washington's adefwebserver.com site has a lot of useful material on it regarding module development. "Old" doesn't necessarily mean out of date, and Michael's material is still quite useful.
Chris Hammond's contributions at DotNetNuke.com are also notable. The series of videos on creating a Task Management Module should be quite helpful. See
http://www.dotnetnuke.com/Resources...ment.aspx. Chris also has some blog posts at DotNetNuke.com that discuss setting up a local development environment.
You will certainly want to have a local development environment with DotNetNuke, SQL Server, and Visual Studio. Also see the video on installing DotNetNuke using the Web Platform Installer of Web Matrix here:
http://www.dotnetnuke.com/Resources...rade.aspx.