Yeah, it's exactly what that comment says.
When you create a new Dynamic Web Project, make sure you select "Add project to an EAR" and select an existing EAR project or create a new one:
Essentially, you'll have a separate Dynamic Web Project for each module and EAR project is the container for all those modules.
Now, when you want to run your whole "modularized" app, right click on the EAR project and select Run As => Run on Server.