I have the same problem. I've done as alpinerlb says, I found the files in the zip file which i downloaded from HouseOfNuke. No joy.
I made the mistake of trying the module and not the skin object, so thinking I could get out of that I:
1) Tried uploading the skin object zip as well. Nope :s
2) Deleted the module (which didn't delete the files even though I selected "delete files").
3) Deleted the files in DesktopModules/HouseMenuSkinObject
4) Uploaded the SkinObject zip again.
5) Added the Styles folder again
6) Also added a folder called HouseMenu under DesktopModules and copied all the files in the styles zip to that
7) Gave up
I'm now going to get a beer and try again tomorrow.
It's a real shame because i was really looking forward to creating a nice simple CSS menu.
Anyone have any helpful suggestions, do I try a clean install just using SkinObject?
P.S. Is it me or is DNN and it's associated modules more buggy than they were? Almost every module has problems it seems.