The modules.ini file in your addons/amx/config folder contains what modules run in your server. Some plugins require features of additional modules not included or enabled by default. So AMX's core functionality is expanded by adding more modules, which allow plugin authors to do more as well.
Note that as of 2006, AMX doesn't require you to specify AMX modules in the metamod/plugins.ini file due to new functionality in Metamod 1.19(-P). The default location for AMX modules is in addons/amx/modules.
This is what the default modules.ini looks like:
You can also type amx modules to list the modules AMX has loaded. It should look like this:
Module downloads may include files with the .inc extension. It's important that these files get into the addons/amx/examples/include folder. As you compile plugins that use these modules, the .inc file(s) that came with the modules are required for the plugins that use them to compile.