You have to download each module.

1) Go to "MyAccount" & download

or

2) Use "WebSetUp" & download the module(s).   

https://proconnect.intuit.com/community/install-products/help/installing-additional-tax-modules-and-...

Thank you.

Where can I find "My Account"? Is it in the application or online? 

It's where you go to manage all your activity with Lacerte/Intuit..... download the software, download your preparer file, check your REP charges, etc.