Hi,
Cancel URL: If a customer goes to the checkout and select the PayPal Advanced as payment gateway then this will redirect him immediately to the PayPal page. But for some reasons the customer decides to cancel the process and return back to the site. If their payment process is cancelled, then the customer will be returned to this URL Error URL: If there is an error occurred during the payment process, then the customer will be redirected to this URL. You can set the Cancel and Error URLs through PayPal Manager.
Paypal Modules: http://www.modulebazaar.com/en/modules/paypal-modules.html