Hi.
There was an API change but I can't remember when it was. Regardless it had only minor effect and pretty much all the modules should work fine regardless. I think what has you confused is how to install 3rd party modules. Nginx only supports compiling in modules statically, which means you have to enable them during compile time. You can't install Nginx and then later add in modules. (without recompiling)
Thankfully, adding 3rd party modules during compile is pretty easy as you just need -add-module=/path/to/module/source