To start at the beginning, SAP is the company, not an application or system, so asking "what module is BW in SAP?" is kind of like asking "what module is Excel in Microsoft?" :-)
Most companies would implement some flavour of the ERP Central Component as the main application or component. You might see this written as SAP ECC 6.0, or for older versions perhaps SAP R/3. This component comprises several modules that enable enterprise processes such as sales, logistics, manufacturing, HR, and finance. Other components can be added or as standalone such as PI (most common, to enable integration with external systems), SRM, PLM, SCM/APO, etc.
Compare this to, say, Microsoft where Office is the core component and you can also install separate applications such as Project, Publisher, etc.
SAP BW (aka Business Information Warehouse BIW or Business Intelligence BI) is another standalone component that can connect to SAP systems, but also to other data sources. Some SAP systems (for example SAP SEM-BCS) contain their own internal mini-BW that can power some BI functionality, but generally the later applications such as BPC connect to BW anyway.