About the WAD file, the wad file is a collection of textures for the map. So if you dont have the wad file it cant render the map. You just need to add the wad file into the cz folder of your account. You just have to find the wad file in question, just google it or get it off of some cs site. That should fix the problem.
The missing wad file usually happens when you upgrade from 1.6 to cz, where it doesn't install all the wad files. Some wad files are actually custom, and needed for custom maps... but yea... adding the wad file should fix the problem.
Also, the server probably emptied because other ppl didn't have the wad file either...