This answers was originally written for Julia 0.4.5. There is now an easier way of importing a local file (see @kiliantics answer). However, I will leave this up as my answer explains several other methods of loading files from other directories which may be of use still.
There have already been some short answers, but I wanted to provide a more complete answer if possible. 
When you run using MyModule, Julia only searches for it in a list of directories known as your LOAD_PATH. If you type LOAD_PATH in the Julia REPL, you will get something like the following:
2-element Array{ByteString,1}:
 "/Applications/Julia-0.4.5.app/Contents/Resources/julia/local/share/julia/site/v0.4"
 "/Applications/Julia-0.4.5.app/Contents/Resources/julia/share/julia/site/v0.4"
These are the directories that Julia will search for modules to include when you type using Hello. In the example that you provided, since Hello was not in your LOAD_PATH, Julia was unable to find it. 
If you wish to include a local module, you can specify its location relative to your current working directory. 
julia> include("./src/Hello.jl")
Once the file has been included, you can then run using Hello as normal to get all of the same behavior. For one off scripts, this is probably the best solution. However, if you find yourself regular having to include() a certain set of directories, you can permanently add them to your LOAD_PATH. 
Adding directories to LOAD_PATH
Manually adding directories to your LOAD_PATH can be a pain if you wish to regularly use particular modules that are stored outside of the Julia LOAD_PATH. In that case, you can append additional directories to the LOAD_PATH environment variable. Julia will then automatically search through these directories whenever you issue an import or using command. 
One way to do this is to add the following to your .basrc, .profile, .zshrc. 
export JULIA_LOAD_PATH="/path/to/module/storage/folder"
This will append that directory onto the standard directories that Julia will search. If you then run 
julia> LOAD_PATH
It should return
3-element Array{ByteString,1}:
 "/path/to/module/storage/folder"
 "/Applications/Julia-0.4.5.app/Contents/Resources/julia/local/share/julia/site/v0.4"
 "/Applications/Julia-0.4.5.app/Contents/Resources/julia/share/julia/site/v0.4"
You can now freely run using Hello and Julia will automatically find the module (as long as it is stored underneath /path/to/module/storage/folder. 
For more information, take a look at this page from the Julia Docs.