Alright, so basically, you can buy any of the cyberlimbs as "modular" which means that they have a modular connector at the primary joint (eg. shoulder for a full arm, elbow for a partial arm, and wrist for a hand).
In order to use said modular limb, you must have a corresponding modular connector to connect it to. The modular connector is installed in flesh (cost essence) or elbow/knee and wrist/ankle connectors can be installed in already existing cyberlimbs (they take up capacity instead). These modular connectors cost extra essence because it is adding extra hardware that let you literally remove and replace a limb at will.
Now, once you have the modular connector and bought your modular limb (which modifies the limbs availability, cost, and has a slight reduction in capacity), it functions as a normal cyberlimb, just with the added functionality that you can swap it out with other modular cyberlimbs.
There were a few clarifications that were left out of the book in Chrome Flesh that people have discussed on the forums here and there. Basically they consist of the rulings that you can't use the modular system to go hog-wild and add the enhancements to all three parts of a cyberlimb that has been made modular to allow connecting three separate pieces down the chain and add up the enhancements to outrageous levels. They've also given the ruling that enhancements "flow down" the limb, so Enhanced Agility on the upper arm with a modular connector would also apply that benefit to the partial arm connected to it (again, with the stipulation that you can't then add more Enhanced Agility to push it above what a normal cyberlimb could have).
My recommendation would be to work out with your GM if you want to do something non-standard. But for the most part, as long as you aren't trying to add things with the express intention of trying to break the system you should be ok.