When I try to load a DLL of a game client I get this error:
How can I completely load this dll?
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From the picture i don't see it's terminated it is only "Running" which could be a lot of things. For example the Dll might be waiting for a specific dll to be loaded or a specific window name.
Try to use the option "AdvEnumModule" in StrongOD plugin and see if that helps making your DLL pause at EP. Or you could also try to change the PE Header of your dll by unchecking "File is a DLL" flag using CFF Explorer go to File Header > Characteristics.
As said by Guntram Blohm this can be anything ! try to post a scan of the DLL in order to see if its packed or crypted. what RDG reported to you ? in addition you can also guess that oldbg cannot "execute" a dll. One approach is to load the main EXE that calls the concerned DLL, once done try to disassemble your "game.dll" from Executable module window (ALT+E).
In this example I loaded main exe file (hidden with black) and can double click on loaded dll (hidden in red) in order to load it into olly.