Hmmm, I did wonder about that, but couldn't think of anything wrong with my copy of hl. I'll have a look round those DLLs. Anyway, the rest of the comments I think are accurate.
I'm sure the blue bits are because those are models, and you haven't got the right DLL's to support masked models. As they didn't show up in other screenshots I think its got to be a problem at your end. If you download DoD (or get the updated DLLs from somewhere) then the problem should be solved.