Mac and zip files
A hint for people have trouble with zipped modules on the Mac - they work fine, but you must leave the module as a single .zip file. When you start Vassal and select 'Play Module', you can choose the .zip file instead of a .mod file and everything will work.
If you don't ever see a .zip file, it may be that your web browser is trying to be helpful and automatically un-zip it for you as soon as it downloads. You can either turn this off (for Safari this is Preferences, General, and untick 'Open "safe" files after downloading'), or have a look in your Trash straight after you download the module and you should find the .zip file there.
Alternatively you can try a direct download by using the contextual menu. Right-click (or Control-click) on the link for the module file. Then choose the "Download Linked File" or "Download Linked File As..." menu items. This should download the file without trying to automatically expand it.
If, after downloading a module, you're seeing lots of files with names like 'buildfile', then this automatic unzipping is almost certainly what's happened. You should (almost always) only see a single file called something like 'Module.mod', 'Module.zip', or 'Module.vmod'.