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when I do dpkg --get-selections or less /proc/modules I see two different list. I don't understand the difference between the elements of each...

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The two commands are not related in any way.

dpkg --get-selections returns the selection state of available packages. From man dpkg:

--get-selections [package-name-pattern...]
    Get list of package selections, and write it to stdout. Without a  pattern,  
    non-installed  packages (i.e. those which have been previously purged) 
    will not be shown.

The selection state is one of:

   install
          The package is selected for installation.

   hold   A package marked to be on hold is not handled  by  dpkg,  unless 
          forced  to  do  that  with  option --force-hold.

   deinstall
          The  package  is selected for deinstallation (i.e. we want to
          remove all files, except configuration files).

   purge  The package is selected to be purged (i.e. we want to remove
          everything  from  system  directories, even configuration files).

/proc/modules, on the other hand, is the list of available kernel modules (you can consider these as equivalent to dll files in the Windows world). While some modules will have been installed as packages, others are included in the kernel. So, looking at the list of modules, you will see some overlap with the dpkg command above if you have installed certain modules that are not part of the kernel.

For example, on my system, I have installed the fuse package which provides the fuse kernel module. I therefore have an entry for fuse in both lists:

$ dpkg --get-selections | grep -P 'fuse\t' 
fuse                        install
$ grep 'fuse' /proc/modules 
fuse 67503 3 - Live 0xffffffffa1140000

Conversely, the package firefox does not provide any modules so it is only listed in the dpkg output:

$ dpkg --get-selections | grep -P 'firefox\t' 
firefox                     install
$ grep 'firefox' /proc/modules 
$
6

Kernel modules (which you see under /proc/modules) are part of the Linux Kernel and needed for hardware support (like device drivers) or some other operating system feature. Loadable kernel modules in Linux are loaded (and unloaded) by the modprobe command. They are located in /lib/modules and have had the extension .ko ("kernel object"). You don't deal with them on a daily basis unless you are a Kernel Developer or looking for a some rare driver for your hardware.

Packages, which you can install with dpkg command (in case of Debian-like distro), are the user software. These you usually install to have one programme or another, like e.g. Firefox, OpenOffice etc.

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    I would add that you can add module dinamically to the kernel if your kernel support that, and this can be done by installing package for example. – Kiwy Jan 8 '14 at 11:06
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The correct question should be:

What is the difference between a Debian package and a Linux module?  

They are completely different things.

Debian is a Linux distribution.
Debian package (deb) is a file format and tools used to package software of a Debian distribution.
Linux module is a module of the Linux kernel which can be loaded on demand.

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