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The TAG module instructions provide the code a module builder needs to TAG enable their module.
If the modules you use are Tag enabled (Article, CBB, WebShow) all you need to do is install the TAGS module. The other modules will then display tag input areas on their submit forms, show the tag bar in their templates and provide a Module Tag Cloud in blocks admin.
Once you have entered some terms, TAG module's pages and Sitewide Cloud blocks will display combined TAGS from all enabled modules. You can turn the TAG module off in the main menu and just display Module TAG Clouds if desired.