@xaav Expanding upon @utopia'S answer:
"CMake will look for modules in the directories specified by
CMAKE_MODULE_PATH; if it cannot find it there, it will look in the
Modules subdirectory."
-Master CMake, by K. Matrin & B. Hoffman, pg. 38
The book doesn't do too a good job of explaining where this directory is though.
On Windows, you'll find it in:
C:\Program Files\CMake\share\cmake-3.21\Modules\
(for x64-bit CMake vers. 3.21 on Windows 10, e.g.). In general on Windows, it will be in
<your_cmake_install_directory>\share\cmake-<your_version>\Modules\
Furthermore, modules are files ending in .cmake and can be run directly from the command line by
cmake -P module.cmake
You can find a copy of the book here. Its a fair starting point, but it's 500 pages long and should be read kind of like a novel. To really understand CMake, I'd dive through the online documentation examples and projects others have posted on GitHub.