Installing modules without FTP
It is a permissions issue...basically your web server needs permission to write to 'sites/all/modules' for Drupal to be able to get the new module folder there without using FTP. 

However, it's a security risk to do this, so if your server is already configured in such a way that stops the apache/php daemons from writing to those folders you should keep it that way.

The better way to install modules automatically in Drupal is to use the Drush command line tool. You can issue a couple of commands:

drush dl views
drush en views


And the module will be automatically downloaded and installed on your site. Drush is infinitely more powerful than that (you can perform all sorts of administration tasks easily from the command line) so if you haven't come across it before I'd thoroughly recommend giving it a go.