Whenever I try to connect to a server this error message appears:

Judging from the picture, you are in half life, not NS.

With steam, you can not switch between mods in-game. Therefore, start Natural Selection from the games menu, instead of half life.
Oh, and make sure you have the latest version..

/RexM

Get HLSW!
Its easier to switch between the mods in Steam

It is NS2.0 for steam...

client.dll is the version you have. If you are having this error your version is either out of date or you're trying to connect to an old server with a different version.

like has been said many times, your version is old, get the new one.

also your not running natural selection so it would never have worked.