Yes, load the executable in OllyDbg, then load the DLL by starting the level in game.
Technically you should be able to do what you did, but I think we messed up the exe with our patches. I suspect it was from our lack of awareness of the relocations table for some of the earlier patches. We changed instructions, but didn't update the relocations table pointing at those instructions. Everything is fine when the EXE is loaded to it's base address and doesn't need to be relocated. If you load a DLL in OllyDbg though, it first loads a dummy EXE at the usual base address, then loads the DLL which references Outpost2.exe, and so it then loads Outpost2.exe, but the base address is already taken by the dummy EXE, so Outpost2.exe gets relocated somewhere else, and references are patched up using the relocation table, which corrupts the patched code.
You can still load a DLL directly in OllyDbg and analyse it statically. You just can't run it because of the above problem. After loading the DLL, you can go to the modules window and choose the appropriate code section to view in the disassembly.
For this problem, the code you want to see is in Outpost2.exe, so you'd be better off loading that than the DLL. You can search the data section for references to the movie filenames and go from there.
If you still want to peek at the code, but aren't certain how to go about it, let me know and I can walk you through some of it.
