Every time I try to play this game I get an error message after the game tries to load up.
I bought the game on Steam. I have already updated my DirectX and it still doesn't work.
The error message I keep getting is this: "Can't create module: can't renderer instance, reason: can't open database effects30h data file."
If someone could help that would be awesome.

This database is a precompiled shaders cache. You will find it in Shared Documents/My Games/The Void (or like that) on XP or in Public Documents (for Vista/Windows 7). One possible way to fix it is to backup the files from that folder ("Cache") somewhere and then delete all of its contents.
The game should then compile all the shaders on the run, as soon as you see a new combination of material and a number of light sources. This is going to cause HUGE amount of sudden slowdown, especially at the beginning of the game when you see a lot of new objects with new shaders. However, this should work.
If the problem is solved, I am sure we can give you a full archive of precompiled shaders. AFAIR, we already put them somewhere here:
http://forums.steampowered.com/forums/f ... .php?f=816

Though, I cannot find it now.

Thanks for the help. That worked.
It seems like I'm not the only one having issues with the Steam version with these shader files.
Also the download site for the cache fix listed on the steam forum has a lot of issues with pop-up's that want to put toolkits on your computer.
Even if you don't even click on a link on the pop-up window.
Made me a little nervous trying to get the cache fix.