This cannot load menu thing seems like the engine can't find the media.
How have you installed nexuiz? Have you downloaded it from an official mirror? (www.nexuiz.com to see some.)
You should have downloaded a zip file, and extract the Nexuiz folder to anywhere.
How does you Nexuiz folder look like? Do you have Nexuiz/data folder with dataxyz.pk3 inside it? (that file should contain the media).
Edit: glad to see you've got it working

Now I can go to sleep
