This question has been asked a million times bro.

You need to be connected to the internet when it prompts
you download the modules!

Or else open the theme.rc and download the modules manually.
Get them loose screws
http://loose-screws.com/modules.php
Put the zip files in your module archive folder in zip format as you download them.

And make sure you only download OTS2 themes.

Thats all folks!