Check the FAQ, I'm not linking you to it because links to it are all over the freaking place.
That's probably not it though, if you attempt to join a netgame in which the host has WADs added that you don't have in your SRB2 folder, SRB2'll just shut down, popping up a list of the missing WADs.
Because that's probably not idiot friendly enough, how you would get those WADs depends of course on the WADs. Alot of servers will actually use unreleased WADs as a means of hosting pseudoprivate netgames.
Also, you need to have more than just the WAD, but the correct version of the WAD.