Problem: You're connecting to a server that require you to use .PK3 files you don't have. One of these files contains the mentioned client VM (cgame) which the server expects your client to use. Example: you use a vanilla SG1.1b5 and are trying to connect to a SG1.0 server.
Allow downloads: Either open console and type \seta cl_allowdownload 1 or set via menu: Settings -> Game Options -> Auto download: yes.
Then connect to a server providing HTTP downloads of the required files such as Baller Bude (\connect bb.smokin-guns.org) or Special Bude.
Similar problems (search for VM_Create in the SG Forum):