Quoting catch <catch56@googlemail.com>:
What's missing from the whole process is something linking you directly to the permissions for the module you just installed and/or the configuration pages. This'd save a massive amount of time.
If I'm not already user/1 I almost always forget to enable permissions for myself then hunt around for a menu item, then go to the permissions page and if I'm lucky something's there, and I always forget admin by module exists as well. When what I really want to do is 1-click permissions, 1-click configuration probably 90% of the time. If we can provide that kind of useful information somewhere then the drupal_set_message() is redundant.
I always use admin/by-module after installing a new module. It gives the list of administrative actions for the modules. Find your module and take care of the administration from there. Having a menu block for Admin By Module might be nice, then you don't lose the visibility as you do when you click the administrative link on the admin/by-module page. Earnie -- http://for-my-kids.com/ -- http://give-me-an-offer.com/