You can also use a profile (help about_profile*) to automatically load a desired module into memory each time you open a new shell window.
That said, you *should* have modules installed in one of the paths where PowerShell looks for them. That way, you don't have to load them (it isn't "installing," it's just loading into memory). In v4, "Program Files\WindowsPowerShell\Modules" is one of the correct paths.
But, Richard is correct – you'll want to use the native ones. They only "auto load," though, because they're put into one of the correct paths. They're not special just because they're native.