Installing modules without FTP So I have installed the latest Drupal 7 stable on my new server, and it asks for an FTP user/password every time I try to install a new module from a .zip file. (Or using an URL).  

The problem is that I don't have an FTP installed on the machine, and I don't really want to install one. I'm pretty sure this is related to some configuration/permission, but I'm not sure where to start. Tried searching around about the question, but only found "random" answers. Nothing clean and/or official.
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.