Hi Pr3z,
The module *is* the container for all of your normal ASP.NET code. So in virtually all circumstances, you will need to create one in order to execute anything meaningful.
That said, you do NOT need to use much of the additional functionality that DNN provides, such as the DAL/+, data providers, and so on. In fact, I recommend starting without all that and only incorporating those elements after you become more comfortable with the system as a whole.
Create a new ascx control, ensure that it derives from PortalModuleBase, and place it in a subdirectory off of DesktopModules. With a bit of work adding the control to your Module Definitions (covered in the documentation), that's really all you need to get up and started.
Hope this points you in the right direction.
Brandon