Log in to the Admin Panel, visit Developer->Builder, and click the New Module link to add a new module.
Enter the Module Name and click the Toggle Advanced Options. Check the top menu e.g. Content under the Context Required checkboxes. If the Content is selected, the module link will be created under the Content dropdown menu.
Once you click on the Submit button, a new folder with the module name is created in the application/modules folder. Go to that folder and open the Controllers folder. You will find files with all the selected Context names. Modify them as per your requirements.