Senf: I got my cd-key this morning and tried connecting to some servers instantly. Sometimes it worked, sometimes it did not ("Module not found"). I opened the menu for creating my own game, to see which modules I have. But those were not anything like the ones I tested online. I am confused.
Does the game download modules by itself? Or does it do only sometimes? Has anything to do with modding?
I think the answers here have confused you.
You do not need to download any modules to play on a server. You often will need to download haks or CEP2.5. You should be able to view information of the server and they will usually list a website. Go to their website to find a list of things you need to download.
Some servers, like City of Arabel in PW Story for instance, does not use any haks in order to bring in players who don't want to junk up their install with haks. Some can end up ruining your install when you try to eventually remove them.
Once you put a hak on your system, it has the potential to interfere with other games. For instance, if you use a CEP2.5 head in Arabel, you'll be running around without a head at all on other servers.
If you would like to make your own server and you want to try other games, go to the NWN vault (google it) and they have 100's of thousands of hours worth of modules on there.
So, in summary, some quick definitions:
Module: A game file with map data. This is what makes the story.
HAK: A file with objects, sounds, music and graphics. These make core changes to the game. For instance, you could make a civil war game using HAKS and make it look radically different than NWN.
Overwrite: These files are similar to a HAK, but they only affect your system. So you could change your GUI with an overwrite or you could make your zombies look cooler or change animations. Only you will see these changes, not anyone else you play with. They'll see the old GUI, the old zombies and the old animations.
Server: A server runs a module for a group of people. The server may require you to install haks.
CEP2.5: A huge group of haks that adds masses of content to the game.
I hope that helps.
P.S. You're probably missing haks and cep2.5 when it says "module not found." That or you can't log in for some reason.