OpenArena includes automatic download features (a.k.a "autodownload" or "d/l" for short). When you try to connect to a server that has got some additional files (usually mods and maps) that are being used, but you do not have them on your local machine, you will not be able to connect to it. Things you can do -unless moving to another server- are to enable automatic downloading or to manually search and install the needed files (e.g. if you know that a server is using the "DeFRag" mod, you will search the web -maybe with a little help from our lists- for its download packages).