In order to run Nali Chronicles, you must first download Epic Bonus Pack 1.
You can find it here: http://official.beyondunreal.com/dl.php/official/ut/utbonuspack.zip
For additional information, see NaliChroniclesReadme.txt (in your Help directory after installation of NaliChronicles.umod)

If you experience problems loading saved games in Nali Chronicles, open the NaliChronicles.ini file and find the line that reads "SavePath=..\save". Then change this line to read "SavePath=C:\UT\Save\" (or whatever the path of your Unreal Tournament Save directory is).