Netloadmodule needs to know what its choices are for download sites. Do you have it configured properly? You should have lines like this in your step.rc:

*NetLoadModuleSite "http://www.loose-screws.com/download.php?netloadmodule=" ".zip"
*NetLoadModuleSite "http://www.ls-universe.info/download/modules/"
*NetLoadModuleSite "http://www.modules.nbi-studio.com/"

Oh - and do you access the internet through a proxy?