All modules I download get the message, "There was an error loading the module." I've tried half a dozen modules with the same error. I get the error right after selecting a character.

The little starter module, Uninvited guests does work.

Make sure that you're putting any files accompanying the actual mods in their correct folders. The most common cause of that error is a missing hak file that was supposed to accompany the module (basically the game tries to load up assets the module requires, can't find them, and so throws the error message). Also, some modules may requires the CEP, so if you're trying to play any of those modules make sure you've also downloaded and installed the latest version of the CEP.