Hi,
mlnxofedinstall script should do all the work and it will prompt to run kernel support if necessary by running mlnx_add_kernel_support. However, be sure that your OS is in the listed as supported in Mellanox OFED release notes.
Once Mellanox OFED installed properly it will load the driver automatically.
mlx4_en & mlx4_ib - are the drivers for ConnectX-2 and ConnectX-3 devices
mlx5_ib - for ConnectX-4 and newer devices.
There are other dependencies, but when you do ‘modprobe mlx4_ib’ kernel will resolve them automatically. If you gonna load drivers manually, you might need to load another module one explicitly - ib_uverbs. But as I said, if Mellanox OFED installed in the right way, nothing need to be done manually.